Knez is from Northwestern University and Lincoln Capital Management. Ready is from University of Wisconsin-Madison. Conversations with Eugene Fama, Jed Frees, Doug Hanna, Lars Hansen, John Heaton, Robert Korajczyk, Doug Martin, Jonathan Paul, Mitch Petersen, Ken West, and Ray Zemon are gratefully acknowledged. We thank the anonymous referee and workshop participants at Northwestern University, the University of Wisconsin-Madison, and the Research Triangle for helpful comments and suggestions.
On The Robustness of Size and Book-to-Market in Cross-Sectional Regressions
Version of Record online: 18 APR 2012
© 1997 the American Finance Association
The Journal of Finance
Volume 52, Issue 4, pages 1355–1382, September 1997
How to Cite
KNEZ, P. J. and READY, M. J. (1997), On The Robustness of Size and Book-to-Market in Cross-Sectional Regressions. The Journal of Finance, 52: 1355–1382. doi: 10.1111/j.1540-6261.1997.tb01113.x
- Issue online: 18 APR 2012
- Version of Record online: 18 APR 2012
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