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Risk and the cross-Section of stock returns

Author

Listed:
  • Radu Burlacu

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique)

  • Patrice Fontaine

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique)

  • Sonia Jimenez-Garcès

    (COACTIS - COnception de l'ACTIon en Situation - UL2 - Université Lumière - Lyon 2 - UJM - Université Jean Monnet - Saint-Étienne)

  • Mark Seasholes

    (HKUST - Hong Kong University of Science and Technology)

Abstract

We derive a proxy for expected returns from a noisy multi-asset rational expectations equilibrium model. a goal/contribution of this paper is to use the same proxy for the theorical, numerical, and empirical analyses.

Suggested Citation

  • Radu Burlacu & Patrice Fontaine & Sonia Jimenez-Garcès & Mark Seasholes, 2009. "Risk and the cross-Section of stock returns," Post-Print halshs-00533068, HAL.
    • Handle: RePEc:hal:journl:halshs-00533068
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00533068
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