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| Author: | Daniel, K. Titman, S. |
| Title: | Evidence of the characteristics of cross sectional variation in stock returns. |
| Journal: | Journal of Finance
1997 : MAR, VOL. 52:1, p. 1-33 |
| Index terms: | STOCK MARKETS PORTFOLIO MANAGEMENT SECURITIES RISK PRICE THEORY |
| Language: | eng |
| Abstract: | Firm sizes and book-to-market ratios are correlated with6 the average returns of common stocks. The evidence in this article indicates that the return premia on small capitalization and high book-to-market stocks does not arise because of the comovements of these stocks with pervasive factors. It is the characteristics rather than the covariance structure of returns that appear to explain the cross-sectional variation in stock returns, |
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