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Publication year
The Cross-Section of Realized Stock Returns: The Pre-Compustat Evidence.
Resource type
Author/contributor
- Davis, James L (Author)
Title
The Cross-Section of Realized Stock Returns: The Pre-Compustat Evidence.
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.
Publication
The Journal of Finance
Volume
49
Issue
5
Pages
1579-93
Date
1994-12
Citation
Davis, J. L. (1994). The Cross-Section of Realized Stock Returns: The Pre-Compustat Evidence. The Journal of Finance, 49, 1579–1593.
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