Another Look at the Cross-Section of Expected Stock Returns.
The authors' examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk when betas are estimated from time-series regressions of annual portfolio returns on the annual return on the equally weighted market index. The relation between book-to-market equity and returns is weaker and less consistent than that in Fama and French (1992). The authors conjecture that past book-to-market results using COMPUSTAT data are affected by a selection bias and provide indirect evidence. Copyright 1995 by American Finance Association.
Year of publication: |
1995
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Authors: | Kothari, S P ; Shanken, Jay ; Sloan, Richard G |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 50.1995, 1, p. 185-224
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Publisher: |
American Finance Association - AFA |
Saved in:
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