Kothari, S P; Shanken, Jay; Sloan, Richard G - In: Journal of Finance 50 (1995) 1, pp. 185-224
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...