Markowitz Efficiency and Size Effect: Evidence from the UK Stock Market

CFA Digest ◽  
2015 ◽  
Vol 45 (3) ◽  
Author(s):  
Sandra Krueger
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
The Uk

Markowitz efficiency and size effect: evidence from the UK stock market

2013 ◽  
Vol 43 (4) ◽  
pp. 721-750 ◽  
Author(s):  
Tienyu Hwang ◽  
Simon Gao ◽  
Heather Owen
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
The Uk

scholarly journals Individual Analysts Earnings Forecasts: Evidence For Overreaction In The UK Stock Market

2011 ◽  
Vol 3 (9) ◽  
Author(s):  
Dimitris F. Kenourgios ◽  
Nikolaos Pavlidis
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Empirical Research ◽  
Firm Size ◽  
Earnings Forecasts ◽  
Growth Opportunities ◽  
Investment Bank ◽  
Price Earnings Ratio ◽  
Overreaction Hypothesis ◽  
The Uk

This paper presents an analysis of two forms of overreaction (generalized overreaction and overreaction to prior earnings changes) in analysts earnings forecasts for the UK stock market, using a sample of individual forecasts of earning per share from a British investment bank over the period 1989-2002. Given that previous UK empirical research over 1980s and mid 90s has provided limited and contradictory findings, we investigate whether and how overreaction of analysts forecasts varies across forecast horizons, firm size (small and large) and growth opportunities (high and low P/E ratio) in order to provide further and comparable evidence. Overall, our findings support the generalized overreaction hypothesis but reject the firm size effect, the overreaction for high P/E ratio companies and the higher overreaction regarding the forecasting horizon. Keywords: Overreaction, Underreaction, Analysts forecasts, forecast horizons, size effect, price/earnings ratio.

Size effect, methodological issues and ‘risk-to-default’: evidence from the UK stock market

2008 ◽  
Vol 14 (4) ◽  
pp. 299-314 ◽  
Author(s):  
Panagiotis Andrikopoulos ◽  
Arief Daynes ◽  
David Latimer ◽  
Paraskevas Pagas
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Methodological Issues ◽  
The Uk

Does the UK Stock Market Overreact? Some Further Evidence for Stock Market Efficiency

2005 ◽  
Author(s):  
Arief Daynes ◽  
Panagiotis Andrikopoulos ◽  
David Latimer ◽  
Paraskevas Pagas
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Market Efficiency ◽  
The Uk

scholarly journals Investigating the Links between UK House Prices and Share Prices with Copulas

2021 ◽  
Author(s):  
Rakesh K. Bissoondeeal ◽  
Leonidas Tsiaras
Keyword(s):  
Stock Market ◽  
House Prices ◽  
National Level ◽  
Tail Dependence ◽  
Share Prices ◽  
Property Prices ◽  
Left Tail ◽  
The Uk ◽  
The Relationship ◽  
Shared Characteristic

AbstractWe investigate the nonlinear links between the housing and stock markets in the UK using copulas. Our empirical analysis is conducted at both the national and regional levels. We also examine how closely London house prices are linked to those in other parts of the UK. We find that (i) the dependence between the different markets exhibits significant time-variation, (ii) at the national level, the relationship between house prices and the stock market is characterised by left tail dependence, i.e., they are more likely to crash, rather than boom, together, (iii) although left tail dependence with the stock market is a prominent feature of some regions, it is by no means a universally shared characteristic, (iv) the dependence between property prices in London and other parts of the UK displays widespread regional variations.

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