The authors' 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). The authors conjecture that past book-to-market results using COMPUSTAT data are affected by a selection bias and provide indirect evidence. Copyright 1995 by American Finance Association.
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Article provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 50 (1995) Issue (Month): 1 (March) Pages: 185-224 Download reference. The following formats are available: HTML,
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