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ArticleAn examination of the cross-sectional relationship of beta and return: UK evidence

Jonathan Fletcher1997

Article1997

An examination of the cross-sectional relationship of beta and return: UK evidence

Jonathan Fletcher

101 citations·0/0 files stored·Journal of Economics and Business

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1973An Intertemporal Capital Asset Pricing Model 1981The relationship between return and market value of common stocks

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Year1997

Typearticle

Published1997-05-01

VenueJournal of Economics and Business

ISSN-L0148-6195

Languageen

Citations101

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0148-6195(97)00006-4

openalex_workW2012528027

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Cited by

2002Beta and returns revisited 2002Stock returns and beta, firms size, E/P, CF/P, book-to-market, and sales growth: evidence from Singapore and Malaysia 2000Cross-sectional regression analysis of return and beta in Japan 2006The cross section of expected stock returns in the Chinese A-share market 2004Time-varying betas and the cross-sectional return–risk relation: evidence from the UK 2007The Usefulness of Book‐to‐Market and ROE Expectations for Explaining UK Stock Returns 2019FIRM SIZE AND STOCK RETURNS: A QUANTITATIVE SURVEY 2003THE CONDITIONAL CAPM AND CROSS-SECTIONAL EVIDENCE OF RETURN AND BETA FOR ISLAMIC UNIT TRUSTS IN MALAYSIA