According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

For the problem of model selection, full cross-validation has been proposed as alternative criterion to the traditional cross-validation, particularly in cases where the latter one is not well defined. To justify the use of the new proposal we show that under some conditions, both criteria share...