Market multiples of the largest firms are most likely to reflect efficient pricing of stocks. For such firms, variations in market multiples should be largely explained by fundamental variables, and expected returns should be positively related to beta but not significantly related to other...

This study investigates asymmetric mean reversion in the real returns of large- and small-cap US stocks for one- to ten-year periods. The return distributions are estimated with 1,000 random block bootstraps of 240-month returns from 1926-2017. Large-cap stock returns show significant asymmetric...