Another Look at the Cross-Section of Expected Stock Returns
1995; Wiley; Volume: 50; Issue: 1 Linguagem: Inglês
10.2307/2329243
ISSN1540-6261
AutoresS.P. Kothari, Jay Shanken, Richard G. Sloan,
Tópico(s)Corporate Finance and Governance
ResumoOur examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9% per annum) for beta risk when betas are estimated from time-series regressions of annual portfolio returns on the annual return on the equal-weighted market index. The relation between book-to-market equity and returns is weaker than that in Fama and French (1992a). We conjecture that book-to-market results using COMPUSTAT data are affected by a selection bias and provide indirect evidence.
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