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The common trend and the cross-section of expected returns

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Author Info
Jeong-Ryeol Kurz-Kim
Abstract

In order to explain the variation of the cross-section of expected returns, we consider a long-run beta which takes account of the common stochastic trends between stock prices. Using the same data as those used by Fama and French (1992), it is found that the long-run beta shows an explanatory potential of the variation of the cross-sectional average returns.

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Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 1 (2005)
Issue (Month): 5 (September)
Pages: 269-271
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Handle: RePEc:taf:apfelt:v:1:y:2005:i:5:p:269-271

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  1. Corhay, A. & Tourani Rad, A. & Urbain, J. -P., 1993. "Common stochastic trends in European stock markets," Economics Letters, Elsevier, vol. 42(4), pages 385-390. [Downloadable!] (restricted)
  2. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis. [Downloadable!]
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This page was last updated on 2009-10-23.

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