I am grateful to Michael Brennan and Ravi Jagannathan for valuable comments.
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research?
Article first published online: 18 NOV 2009
© 2009 Blackwell Publishing Ltd
European Financial Management
Volume 16, Issue 1, pages 27–42, January 2010
How to Cite
Subrahmanyam, A. (2010), The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research?. European Financial Management, 16: 27–42. doi: 10.1111/j.1468-036X.2009.00520.x
- Issue published online: 23 DEC 2009
- Article first published online: 18 NOV 2009
- cross-section of stock returns;
- market efficiency
I review the recent literature on cross-sectional predictors of stock returns. Predictive variables used emanate from informal arguments, alternative tests of risk-return models, behavioural biases, and frictions. More than fifty variables have been used to predict returns. The overall picture, however, remains murky, because more needs to be done to consider the correlational structure amongst the variables, use a comprehensive set of controls, and discern whether the results survive simple variations in methodology.