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

  • Gabriel Hawawini
  • Donald B. Keim

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 Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 08-99.

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Handle: RePEc:fth:pennfi:08-99
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