Graduate School of Business, University of Chicago, 1101 East 58th Street, Chicago, IL 60637. We acknowledge the helpful comments of David Booth, Nai-fu Chen, George Constantinides, Wayne Ferson, Edward George, Campbell Harvey, Josef Lakonishok, Rex Sinquefield, René Stulz, Mark Zmijeweski, and an anonymous referee. This research is supported by the National Science Foundation (Fama) and the Center for Research in Security Prices (French).
The Cross-Section of Expected Stock Returns
Article first published online: 30 APR 2012
1992 The American Finance Association
The Journal of Finance
Volume 47, Issue 2, pages 427–465, June 1992
How to Cite
FAMA, E. F. and FRENCH, K. R. (1992), The Cross-Section of Expected Stock Returns. The Journal of Finance, 47: 427–465. doi: 10.1111/j.1540-6261.1992.tb04398.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market β, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in β that is unrelated to size, the relation between market β and average return is flat, even when β is the only explanatory variable.