This paper examines the ability of beta and size to explain cross-sectional variation in average returns in twelve European countries. We find that average stock returns are positively related to beta and negatively related to firm size. The beta premium is in part due to the fact that high beta...

This paper provides an asset pricing rationale for choosing among alternative ways to group securities in applied corporate finance settings. Explicit reference to the asset pricing paradigm has become less prevalent in the empirical corporate finance literature, where there has emerged a...