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The Cross-Section of Realized Stock Returns: The Pre-Compustat Evidence.

James L. Davis
Journal of Finance 1994 49(5), 1579-93
Using a database that is free of survivorship bias, this article finds that book-to-market equity, earnings yield, and cash flow yield have significant explanatory power with respect to the cross-section of realized stock returns during the period from July 1940 through June 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample.

The Cross-Section of Realized Stock Returns: The Pre-COMPUSTAT Evidence

J. L. Davis
Journal of Finance 1994 49(5), 1579
Using a database that is free of survivorship bias, this article finds that book-to-market equity, earnings yield, and cash flow yield have significant explanatory power with respect to the cross-section of realized stock returns during the period from July 1940 through June 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample.

The Cross‐Section of Realized Stock Returns: The Pre‐COMPUSTAT Evidence

J. L. Davis
Journal of Finance 1994 49(5), 1579-1593
ABSTRACT Using a database that is free of survivorship bias, this article finds that book‐to‐market equity, earnings yield, and cash flow yield have significant explanatory power with respect to the cross‐section of realized stock returns during the period from July 1940 through June 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample.

Characteristics, Covariances, and Average Returns: 1929 to 1997

J. L. Davis; Eugene F. Fama; Kenneth R. French
Journal of Finance 2000 55(1), 389-406
The value premium in U.S. stock returns is robust. The positive relation between average return and book‐to‐market equity is as strong for 1929 to 1963 as for the subsequent period studied in previous papers. A three‐factor risk model explains the value premium better than the hypothesis that the book‐to‐market characteristic is compensated irrespective of risk loadings.