haku: @author Shanken, J. / yhteensä: 16
viite: 7 / 16
| Tekijä: | Kothari, S. Shanken, J. Sloan, R. |
| Otsikko: | Another look at the cross-section of expected stock returns |
| Lehti: | Journal of Finance
1995 : MAR, VOL. 33:1, p. 185-224 |
| Asiasana: | MANAGEMENT STOCK RETURNS ECONOMICS |
| Kieli: | eng |
| Tiivistelmä: | The authors' examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk when betas are estimated from time-series regressions of annual portfolio returns on the annual return on the equally weighted market index. The relation between book-to-market equity and returns is weaker and less consistent than that in Fama and French (1992). The authors conjecture that past book-to-market results using COMPUSTAT data are affected by a selection bias and provide indirect evidence. |
SCIMA