Skip navigation

Industry concentration and stock returns: evidence from publicly listed firms in the U.K

Industry concentration and stock returns: evidence from publicly listed firms in the U.K

Hashem, Nawar (2011) Industry concentration and stock returns: evidence from publicly listed firms in the U.K. PhD thesis, University of Greenwich.

[img] PDF
Nawar_Hashem_2011.pdf - Published Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (1MB)

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.

Item Type: Thesis (PhD)
Additional Information: uk.bl.ethos.549136
Uncontrolled Keywords: stock market, London Stock Exchange, stock returns,
Subjects: H Social Sciences > HG Finance
Faculty / School / Research Centre / Research Group: Faculty of Business > Department of Accounting & Finance
Last Modified: 14 Oct 2016 09:20
URI: http://gala.gre.ac.uk/id/eprint/8055

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics