Abstract
ABSTRACT Two easily measured variables, size and book‐to‐market equity, combine to capture the cross‐sectional variation in average stock returns associated with market β , size, leverage, book‐to‐market equity, and earnings‐price ratios. Moreover, when the tests allow for variation in β that is unrelated to size, the relation between market β and average return is flat, even when β is the only explanatory variable.
Keywords
Equity (law)EconometricsEconomicsFinancial economicsEarningsLeverage (statistics)Stock marketStock (firearms)Market sizeStatisticsMathematicsAccountingGeography
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Publication Info
- Year
- 1992
- Type
- article
- Volume
- 47
- Issue
- 2
- Pages
- 427-465
- Citations
- 14994
- Access
- Closed
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Cite This
Eugene F. Fama,
Kenneth R. French
(1992).
The Cross‐Section of Expected Stock Returns.
The Journal of Finance
, 47
(2)
, 427-465.
https://doi.org/10.1111/j.1540-6261.1992.tb04398.x
Identifiers
- DOI
- 10.1111/j.1540-6261.1992.tb04398.x