VARIATION IN EXPECTED STOCK RETURNS - EVIDENCE ON THE PRICING OF EQUITIES FROM A CROSS-SECTION OF UK COMPANIES

This paper analyses the variation in expected monthly stock returns fo r a large cross-section of UK companies. Using company attributes as a sorting key, we form portfolios and study their returns relative to t he return on the market index. We find that book to market value, and to a lesser extent company size and liquidity, are the only company at tributes that appear to contain information about variation in expecte d returns. We consider whether excess returns on our portfolios reflec t risk premia or market inefficiency.