Another Look at the Cross-Section of Expected Stock Returns
Posted: 14 Apr 1999
Abstract
Our examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9% per annum) for beta risk when betas are estimated from time-series regressions of annual portfolio returns on the annual return on the equal-weighted market index. The relation between book-to-market equity and returns is weaker than that in Fama and French (1992a). We conjecture that book-to-market results using COMPUSTAT data are affected by a selection bias and provide indirect evidence.
JEL Classification: G12
Suggested Citation: Suggested Citation
Shanken, Jay A. and Sloan, Richard G., Another Look at the Cross-Section of Expected Stock Returns. Available at SSRN: https://ssrn.com/abstract=5905
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