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- W2024154504 abstract "Abstract The paper extends Lo and MacKinlay's 1990 findings by testing for mean and variance spillovers among size-sorted portfolios for the UK stock market. The London Business School Share Price Database, which contains the returns of approximately 6000 companies, is used to construct two sets of size-sorted portfolios using two alternative weighting schemes. Evidence is found of mean and variance spillovers from large- to small-firm portfolios, but not vice versa. This result holds for both weighting schemes. The existence of such spillovers suggests that profitable mean- and variance-based trading strategies exist in the UK stock market." @default.
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- W2024154504 date "2002-04-01" @default.
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- W2024154504 title "Mean and variance spillovers among size-sorted UK equity portfolios" @default.
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- W2024154504 doi "https://doi.org/10.1080/13504850110065858" @default.
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