Asgharian, Hossein; Hansson, Björn - Nationalekonomiska Institutionen, Ekonomihögskolan - 2002
This paper analyses the ability of beta and other factors, like firm size and book-to-market, to explain cross-sectional … portfolios and thereby losing information. We use both separate cross-sectional regressions and a pooled regression model to … cross-sectional differences among realised stock returns conditional on the sign of the realised market excess return. Our …