The Cross‐Section of Expected Stock Returns

The Cross‐Section of Expected Stock Returns

  • EUGENE F. FAMA
  • KENNETH R. FRENCH

Article first published online: 30th April 2012 DOI: 10.1111/j.1540-6261.1992.tb04398.x

Abstract


Two easily measured variables, size and book‐to‐market equity, combine to capture the cross‐sectional variation in average stock returns associated with market , size, leverage, book‐to‐market equity, and earnings‐price ratios. Moreover, when the tests allow for variation in that is unrelated to size, the relation between market and average return is flat, even when is the only explanatory variable.

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