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The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings

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  • Hawawini, G.
  • Keim, D.B.

Abstract

In this paper we review the evidence on the cross-sectional behaviour of common stock returns in the US and other equity markets around the world. Since the early 1980's, a growing number of empirical studies have documented the presence of persistent cross-sectional patterns in stock returns that do not support one of the fundamental tenets of modern finance: expected stock returns are determined by their level of beta risk through a positive and linear relationship known as the capital asset pricing model, or CAPM.

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Bibliographic Info

Paper provided by INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration. in its series INSEAD with number 97/66.

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Length: 41 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:insead:97/66

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Postal: INSEAD, Centre for the Management of Environmental Resources. The uropean Institute of Business Administration. Boulevard de Constance, 77305 Fontainebleau Cedex, France.
Web page: http://www.insead.edu/
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Keywords: EQUITY ; STOCKS;

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References

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Citations

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Cited by:
  1. Elsas, Ralf & El-Shaer, Mahmoud & Theissen, Erik, 2003. "Beta and returns revisited: Evidence from the German stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 1-18, February.
  2. van der Sar, Nico L., 2004. "Behavioral finance: How matters stand," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 425-444, June.
  3. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
  4. Javier DePeƱa & Luis A. Gil-Alana, 2003. "The explaining role of the Earning-Price Ratio in the Spanish Stock Market," Faculty Working Papers 03/03, School of Economics and Business Administration, University of Navarra.
  5. Manuel Ammann & Michael Steiner, 2008. "Risk Factors for the Swiss Stock Market," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(I), pages 1-35, March.
  6. Lucey, Brian M & Zhao, Shelly, 2008. "Halloween or January? Yet another puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1055-1069, December.
  7. Paul P.J. Gao & Kevin X.D. Huang, 2008. "Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 1-37, May.
  8. Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2010. "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers 10-01, University of Cologne, Centre for Financial Research (CFR).
  9. LaFond, Ryan, 2005. "Is the Accrual Anomaly a Global Anomaly?," Working papers 27856, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  10. Wayne E. Ferson & Campbell R. Harvey, 1999. "Economic, Financial, and Fundamental Global Risk In and Out of the EMU," NBER Working Papers 6967, National Bureau of Economic Research, Inc.

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