Purpose – Prior work claims that the CAPM is mis‐specified based on evidence that beta and idiosyncratic variables such as size, book‐to‐market, and price‐earnings ratios combine to explain average cross‐sectional variation in stock returns. This paper set out to reexamine this...

Purpose - Prior work claims that the CAPM is mis-specified based on evidence that beta and idiosyncratic variables such as size, book-to-market, and price-earnings ratios combine to explain average cross-sectional variation in stock returns. This paper set out to reexamine this research by...

Purpose – The main purpose of this study is to examine whether macroeconomic variables could subsume the size and book‐to‐market (BM) anomalies for longer‐return intervals using Tokyo Stock Exchange‐listed stocks. Design/methodology/approach – The Fama‐MacBeth cross‐sectional...