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

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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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
Contact details of provider: 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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