Journal of Finance Vol. 47 No. 2 1992
The Cross-Section of Expected Stock Returns.
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 "beta", size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in "beta" that is unrelated to size, t he relation between market "beta" and average return is flat, even when "beta" is the only explanatory variable.
- Volume
- 47
- Issue
- 2
- Pages
- 427-65
- Sources
- bibtex:phds-export.bib