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The Cross-Section of Realized Stock Returns: The Pre-COMPUSTAT Evidence



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    • Kansas State University. This article is based on part of my doctoral thesis at the University of Illinois. I am grateful to Louis Chan, Josef Lakonishok, Jay Ritter, René Stulz (the editor), two anonymous referees, and seminar participants at Kansas Sate University and the University of Illinois for their valuable comments. I am especially indebted to Jay Ritter for many helpful discussions.


Using a database that is free of survivorship bias, this article finds that book-to-market equity, earnings yield, and cash flow yield have significant explanatory power with respect to the cross-section of realized stock returns during the period from July 1940 through June 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample.

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