search query: @indexterm CAPM / total: 22
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| Author: | Bagella, M. Becchetti, L. Carpentieri, A. |
| Title: | "The first shall be last". Size and value strategy premia at the London Stock Exchange |
| Journal: | Journal of Banking and Finance
2000 : JUN, VOL. 24:6, p. 893-919 |
| Index terms: | Stock markets Strategy CAPM Models Stock returns United Kingdom Europe |
| Language: | eng |
| Abstract: | The paper analyses the determinants of cross-sectional stock returns at the London Stock Exchange in the last 26 years. It is found among others that portfolio strategies based on low values of earning per share (EPS), market to book value (MTBV), market value (MV) and return on equity (ROE) significantly outperform the index. There are more results reported. |
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