The Cross‐Section of Expected Stock Returns
Eugene F. FamaGraduate School of Business, University of Chicago, 1101 East 58th Street, Chicago, IL 60637Kenneth R. FrenchGraduate School of Business, University of Chicago, 1101 East 58th Street, Chicago, IL 60637
1992en
ABI
Аннотация
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.
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