The Cross‐Section of Expected Stock Returns

Journal of Finance - Tập 47 Số 2 - Trang 427-465 - 1992
Eugene F. Fama1, Kenneth R. French1
1Graduate School of Business, University of Chicago, 1101 East 58th Street, Chicago, IL 60637.

Tóm tắt

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.

Từ khóa


Tài liệu tham khảo

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Thông tin xuất bản

Journal of Finance

Tập 47 Số 2

427-465

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