search query: @author Heston, S. / total: 2
reference: 1 / 2
« previous | next »
| Author: | Heston, S. Rouwenhorst, K. Wessels, R. |
| Title: | The role of beta and size in the cross-section of European stock returns |
| Journal: | European Financial Management
1999 : MAR, VOL. 5:1, p. 9-27 |
| Index terms: | FINANCIAL MANAGEMENT STOCK RETURNS EUROPE |
| Language: | eng |
| Abstract: | This paper examines the ability of beta and size to explain cross-sectional variation in average returns in 12 European countries. The authors find that average stock returns are positively related to beta and negatively related to firm size. The beta premium is in part due to the fact that high beta countries outperform low beta countries. Within countries high beta stocks outperform low beta stocks only in January, not in other months. |
« previous | next »
SCIMA