THE CROSS-SECTION OF EXPECTED STOCK RETURNS

被引：6297
|
作者：
FAMA, EF
FRENCH, KR
机构：
来源：
JOURNAL OF FINANCE | 1992年 / 47卷 / 02期
关键词：
D O I：
10.2307/2329112
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market-beta, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in beta that is unrelated to size, the relation between market-beta and average return is flat, even when beta is the only explanatory variable
引用
收藏
页码：427 / 465
页数：39
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