Beta, size, book-to-market equity and returns: A study based on UK data

Morelli, David A.

doi:10.1016/j.mulfin.2006.12.003

Cited by 34 publications

(34 citation statements)

References 32 publications

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“…Recent studies by Harvey (2017) and Hou, Xue and Zhang (Hou et al 2017) highlight the importance of replication in Finance, which is common in other fields of science. Second, I extend the prior literature on the role of stock characteristics in UK stock returns such as Levis (1989), Strong and Xu (1997), Dissanaike (1999), Gregory, Harris and Michou (Gregory et al 2001), Hon and Tonks (2003), Morelli (2007), and Qing and Turner (2014) among others 3 . I extend this literature by considering the incremental contribution of stock characteristics on the investment opportunity set in UK stock returns and examining the impact of no short selling constraints on the incremental contribution.…”

Section: Introductionmentioning

confidence: 75%

An Empirical Examination of the Incremental Contribution of Stock Characteristics in UK Stock Returns

Fletcher

2017

IJFS

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This study uses the Bayesian approach to examine the incremental contribution of stock characteristics to the investment opportunity set in U.K. stock returns. The paper finds that size, book-to-market (BM) ratio, and momentum characteristics all make a significant incremental contribution to the investment opportunity set when there is unrestricted short selling. However, no short selling constraints eliminate the incremental contribution of the size and BM characteristics, but not the momentum characteristic. The use of additional stock characteristics such as stock issues, accruals, profitability, and asset growth leads to a significant incremental contribution beyond the size, BM, and momentum characteristics when there is unrestricted short selling, but no short selling constraints largely eliminates the incremental contribution of the additional characteristics.

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Section: Introductionmentioning

confidence: 75%

An Empirical Examination of the Incremental Contribution of Stock Characteristics in UK Stock Returns

Fletcher

2017

IJFS

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“…And the effects are increasing as firm's size increases. Morelli (2007) found the same effects of firm's size on the UK listed firms' stock returns. Dominguez and Tesar (2006) examined the relationship between exchange rate movement and firm value.…”

Section: Literature Reviewmentioning

confidence: 65%

The Foreign Exchange Exposures and Enterprise Risk Management: Evidence from Hospitality Industry in Taiwan

Hsiao

2017

AJFA

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This paper adopts ARIMA model to explore the relationship between business performance and the fluctuation of exchange rate. The empirical results show that the impacts of the fluctuation of foreign exchange rate on the business performance of hotels are significant and different across currencies and the size of a hotel. Furthermore, based on the framework of Kim (2013), a modern portfolio theory proposed by Markowitz (1952) gives an optimal allocation of foreign exchange for a hotel's decision-makers, who would avoid exchange rate risk exposure and complete the construction of enterprise risk management system (ERM) to reduce losses.

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“…This study contributes to the strand of literature that has investigated the pattern of cross-sectional stock returns in the UK market (Levis, 1989;Strong and Xu, 1997;Morgan and Thomas, 1998;Dissanaike, 1999;Liu et al, 1999;Gwilym et al, 2000;Gregory et al, 2001;Hon and Tonks, 2003;Morelli, 2007). This study also contributes to the literature which has investigated cross-sectional stock returns in historical financial markets.…”

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confidence: 69%

“…In addition, several studies on the more recent UK stock market have also found little evidence of a size effect (Levis, 1989;Strong and Xu, 1997;Morelli, 2007).…”

Section: <Insert Table 3>mentioning

confidence: 99%