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The Cross-Section of Expected Stock Returns

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Author Info

  • Fama, Eugene F
  • French, Kenneth R

Abstract

Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market "beta", size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in "beta" that is unrelated to size, t he relation between market "beta" and average return is flat, even when "beta" is the only explanatory variable. Copyright 1992 by American Finance Association.

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Bibliographic Info

Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 47 (1992)
Issue (Month): 2 (June)
Pages: 427-65

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Handle: RePEc:bla:jfinan:v:47:y:1992:i:2:p:427-65

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  1. New Minimum Variance Portfolio
    by Eric Falkenstein in Falkenblog on 2008-04-23 01:01:00
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  1. Value investing in Wikipedia (English)

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