Systematic risk determinants of stock returns after financial crisis: evidence from United Kingdom.

Trinh, Vu Quang; Karki, Dipesh; Ghimire, Binam

Abstract

This paper provides an empirical analysis of FTSE100 stock returns during the period of 2009 to 2013 with an aim to assess the relevancy of Fama-French three factor model post financial crisis of 2008. FTSE100 index was chosen in particular as it is the benchmark of prosperity among UK stocks. Assortment of six portfolios S/L, S/M, S/H, B/L, B/M and B/H based on firm's size and book-to-market ratio were constructed as per guidelines of the Fama-French model. The ordinary least square estimation showed consistently positive and significant in all observed portfolios. However the results indicated that excess market return is the dominant variable among three risk factors; meanwhile size factor (SMB) was significant while explaining only small-scale portfolios returns, but had no effect on the average returns of large-scale portfolios. Likewise, value factor (HML) appeared to be somewhat effective only in case of high book-to-market stock portfolios. Thus the impact of book-to-market value on the average excess returns of these observed portfolios behave in an un-systematic manner.

Citation

TRINH, V.Q., KARKI, D. and GHIMIRE, B. 2016. Systematic risk determinants of stock returns after financial crisis: evidence from United Kingdom. Journal of finance and investment analysis [online], 5(1), pages 1-28. Available from: https://www.scienpress.com/journal_focus.asp?main_id=69&Sub_id=IV&Issue=1736

• Journal Article Type: Article
• Acceptance Date: Dec 19, 2015
• Online Publication Date: Mar 1, 2016
• Publication Date: Mar 31, 2016
• Deposit Date: Aug 20, 2024
• Publicly Available Date: Aug 20, 2024
• Journal: Journal of finance and investment analysis
• Print ISSN: 2241-0988
• Electronic ISSN: 2241-0996
• Publisher: Scienpress
• Peer Reviewed: Peer Reviewed
• Volume: 5
• Issue: 1
• Pages: 1-28
• Keywords: Financial crises; Stock markets; Finance; United Kingdom; FTSE100
• Public URL: https://rgu-repository.worktribe.com/output/2439907
• Publisher URL: https://www.scienpress.com/journal_focus.asp?main_id=69&Sub_id=IV&Issue=1736