Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.549136
Title: Industry concentration and stock returns : evidence from publicly listed firms in the U.K.
Author: Hashem, Nawar
Awarding Body: University of Greenwich
Current Institution: University of Greenwich
Date of Award: 2011
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Abstract:
In this dissertation, I examine the relationship between market structure and average stock returns in the London Stock Exchange during 1985 and 2010. Using Multifactor asset pricing theory, I test whether industry concentration is a new asset pricing factor in addition to conventional risk factors such as beta, size, book-to-market equity, momentum, and leverage. I find that industry concentration is negatively related to average stock returns in all Fama-MacBeth cross-sectional regressions, even after controlling for beta, size, book-to-market equity, momentum, and leverage. In addition, there is strong evidence of a growth effect. Firms or industry portfolios with smaller book-to-market equity ratios have significantly higher returns. In contrast, beta is never statistically significant. The above results are robust to firm- and industry-level regressions, and the formation of firms into 100 size-beta portfolios. The time-series results show some evidence that industry concentration premium contains separate information compared with other risk premiums or risk factors and helps explain the time-series variation in stock returns, even after accounting for the premiums of beta, size, book-to-market, momentum, and leverage. The empirical findings indicate that competitive industries earn, on average, higher risk-adjusted returns than concentrated industries. An explanation is that investors in more competitive industries require larger return premiums for greater distress risks associated with these industries.
Supervisor: Su, Dong-Wei ; Stojanovic, Aleksandar Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.549136  DOI: Not available
Keywords: HG Finance
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