In this paper, we provide evidence related to the existence, or otherwise, of the accruals anomaly in the UK stock market. Specifically, we find that average annual abnormal returns generally decline as prior period accruals move from low to high. This outcome can be interpreted as broadly...

This paper explores the industry cost of equity capital for the UK. We replicate the <link rid="b10">Fama and French (1997)</link> US analysis for UK industries, but additionally investigate the industry cost of equity capital obtained from a conditional CAPM, the <link rid="b3">Cahart (1997)</link> four factor model, and the <link rid="b1">Al-Horani,...

This paper explores the predictive ability of the value spread in the UK. I replicate the US analysis of <link rid="b19">Liu and Zhang (2007)</link> using UK data. In addition, I extend their work by exploring the predictive ability of the book-to-market, market-to-book and value spread on other size and value...

It is now widely accepted that contrarian, or value investment strategies deliver superior returns. Gregory, Harris and Michou (2001) examine the performance of contrarian investment strategies in the UK and find that value strategies formed on the basis of a wide range of measures of value have...

The performance of contrarian, or value strategies - those that invest in stocks that have low market value relative to a measure of their fundamentals - continues to attract attention from researchers and practitioners alike. While there is much extant evidence on the profitability of value...