Using a database that is free of survivorship bias, this article finds that book-to-market equity, earnings yield, and cash flow yield have significant explanatory power with respect to the cross-section of realized stock returns during the period from July 1940 through June 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample. Copyright 1994 by American Finance Association.
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Article provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 49 (1994) Issue (Month): 5 (December) Pages: 1579-93 Download reference. The following formats are available: HTML,
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