The Cross-Section of Realized Stock Returns : The Pre- Compustat Evidence

Using a database that is free of survivorship bias, this paper 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 to 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

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Year of publication:	[2000]
Authors:	Davis, James L.
Publisher:	[2000]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: JOURNAL OF FINANCE, VOL. 49, NO. 5, December 1994 Volltext nicht verfügbar
Classification:	G1 - General Financial Markets ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012789265