Another Look at the Cross‐section of Expected Stock Returns
1995; Wiley; Volume: 50; Issue: 1 Linguagem: Inglês
10.1111/j.1540-6261.1995.tb05171.x
ISSN1540-6261
AutoresS.P. Kothari, Jay Shanken, Richard G. Sloan,
Tópico(s)Auditing, Earnings Management, Governance
ResumoABSTRACT Our 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 weighted market index. The relation between book‐to‐market equity and returns is weaker and less consistent than that in Fama and French (1992). We conjecture that past book‐to‐market results using COMPUS‐TAT data are affected by a selection bias and provide indirect evidence.
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