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Topic
Publication year
Conditioning Variables and the Cross Section of Stock Returns
Resource type
Authors/contributors
- Ferson, Wayne E. (Author)
- Harvey, Campbell R. (Author)
Title
Conditioning Variables and the Cross Section of Stock Returns
Abstract
Previous studies identify predetermined variables that predict stock and bond returns through time. This paper shows that loadings on the same variables provide significant cross‐sectional explanatory power for stock portfolio returns. The loadings are significant given the three factors advocated by Fama and French (1993) and the four factors of Elton, Gruber, and Blake (1995). The explanatory power of the loadings on lagged variables is robust to various portfolio grouping procedures and other considerations. The results carry implications for risk analysis, performance measurement, cost‐of‐capital calculations, and other applications.
Publication
The Journal of Finance
Volume
54
Issue
4
Pages
1325-1360
Date
1999
Citation
Ferson, W. E., & Harvey, C. R. (1999). Conditioning Variables and the Cross Section of Stock Returns. The Journal of Finance, 54, 1325–1360.
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