THE CROSS-SECTION OF EXPECTED STOCK RETURNS

被引：6654

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

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页码：427 / 465

页数：39

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