UK excess share returns: Firm size and volatility

Scottish Journal of Political Economy

Volumn 43, Issue 1, 1996, Pages 71-84

  Fraser, Patricia ^a  

^a UNIVERSITY OF ABERDEEN   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038105193     PISSN: 00369292     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9485.1996.tb00839.x     Document Type: Article

References (24)

1. BAILLIE, R. T. and DEGENNARO, R. P. (1990). Stock returns and volatility. Journal of Financial and Quantitative Analysis, 25, pp. 302-215.
2. BANZ, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, pp. 3-18.
3. BASU, S. (1983). Investment performance of common stocks in relation to their price-earnings ratio: a test of the efficient markets hypothesis. Journal of Finance, pp. 663-682.
4. BLACK, F. (1976). Studies of stock price volatility changes. Proceeds of the American Statistical Association, Business and Economics Statistics Section, pp. 177-181.
5. BOLLERSLEV, T. (1986). Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, pp. 307-328.
6. BOLLERSLEV, T. (1987). A conditional heteroskedastic time series model for speculative prices and rates of return. The Review of Economics and Statistics, 59, pp. 542-547.
7. BOLLERSLEV, T., CHOU, R. Y. and KRONER, K. F. (1992). Arch modeling in finance. Journal of Econometrics, 52, pp. 5-59.
8. CHOU, R. Y. (1988). Volatility persistence and stock evaluations: some empirical evidence using GARCH. Journal of Applied Econometrics, 3, pp. 279-294.
9. CHRISTIE, A. A. (1982). The stochastic behaviour of common stock variances: value, leverage and interest rate effects. Journal of Financial Economics, 10, pp. 407-432.
10. DIMSON, E. and MARSH, P. (1989). The smaller companies puzzle. The Investment Analyst, 91, pp.16-24.
11. ENGLE, R. F. and BOLLERSLEV, T. (1986). Modelling the persistence of conditional variances. Econometric Review, 5, 1, pp. 1-50.
12. FRASER, P. (1995). Returns and firm size: a note on the UK experience 1970-1991. Forthcoming Applied Economics Letters.
13. FRENCH, K. R., SCHWERT, G. W. and STAMBAUGH, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 9, pp. 3-29.
14. LAMOUREAUX, C. G. and LASTRAPES, W. D. (1990). Heteroskedasticity in stock return data: volume versus Garch effects. The Journal of Finance, 45, pp. 221-229.
15. LO, A. and MACKINLAY, C. (1990). When are contrarian profits due to stock market overreaction. Review of Financial Studies, 1, pp. 175-205.
16. NELSON, D. B. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59, pp. 347-370.
17. PINDYCK, R. S. (1984). Risk, inflation, and the stock market. American Economic Review, 74, pp. 335-351.
18. POON, S. H. and TAYLOR, S. (1992). Stock returns and volatility: an empirical study of the UK stock market. Journal of Banking and Finance, 16, pp. 37-59.
19. POTERBA, J. M. and SUMMERS, L. H. (1986). The persistence of volatility and stock market fluctuations. American Economic Review, 76, pp. 1142-1151.
20. REINGANUM, M. R. (1981). Misspecification of capital asset pricing. Empirical anomalies based on earnings' yields and market values. Journal of Financial Economics, 9, pp. 19-46.
21. ROLL, R. (1981). Possible explanation of the small firm effect. Journal of Finance, pp. 879-888.
22. ROLL, R. (1983). On computing mean returns and the small firm premium. Journal of Financial Economics, pp. 371-386.
23. ROSS, S. A. (1989). Information and volatility: the no-arbitrage martingale approach to timing and resolution irrelevancy. Journal of Finance, 44, pp. 1-17.
24. TAYLOR, S. (1986). Modelling Financial Time Series, John Wiley and Sons Ltd.