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Article

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

Department of Accounting and Finance, Stenhouse Building, University of Strathclyde, 199 Cathedral Street, Glasgow G4 0QU, UK
Academic Editors: Panagiotis Andrikopoulos and Vasilios Sogiakas
Int. J. Financial Stud. 2017, 5(4), 21; https://doi.org/10.3390/ijfs5040021
Received: 29 August 2017 / Revised: 27 September 2017 / Accepted: 29 September 2017 / Published: 11 October 2017
(This article belongs to the Special Issue Asset Pricing and Portfolio Choice)
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. View Full-Text
Keywords: stock characteristics; investment opportunity set; no short selling stock characteristics; investment opportunity set; no short selling
MDPI and ACS Style

Fletcher, J. An Empirical Examination of the Incremental Contribution of Stock Characteristics in UK Stock Returns. Int. J. Financial Stud. 2017, 5, 21. https://doi.org/10.3390/ijfs5040021

AMA Style

Fletcher J. An Empirical Examination of the Incremental Contribution of Stock Characteristics in UK Stock Returns. International Journal of Financial Studies. 2017; 5(4):21. https://doi.org/10.3390/ijfs5040021

Chicago/Turabian Style

Fletcher, Jonathan. 2017. "An Empirical Examination of the Incremental Contribution of Stock Characteristics in UK Stock Returns" International Journal of Financial Studies 5, no. 4: 21. https://doi.org/10.3390/ijfs5040021

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