Roll is from the Anderson School of Management, University of California, Los Angeles, and Ross is from the Yale School of Management, Yale University. We are grateful for comments from T. Daniel Coggin, Mark Grinblatt, John E. Hunter, Chi-Cheng Hsia, Andrew Lo, Simon Wheatley, three referees, the coeditor of the Journal, David Mayers, and the editor, René Stulz.
On the Cross-sectional Relation between Expected Returns and Betas
Version of Record online: 30 APR 2012
© 1994 the American Finance Association
The Journal of Finance
Volume 49, Issue 1, pages 101–121, March 1994
How to Cite
ROLL, R. and ROSS, S. A. (1994), On the Cross-sectional Relation between Expected Returns and Betas. The Journal of Finance, 49: 101–121. doi: 10.1111/j.1540-6261.1994.tb04422.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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