Daniel is from the Kellogg School of Management at Northwestern University. Titman is from the Carroll School of Management at Boston College. We thank participants of seminars at Dartmouth, Harvard Business School, MIT, Northwestern, UCLA, University of Chicago, University of Illinois Urbana-Champaign, University of Michigan, University of Southern California, University of Tokyo, Wharton, the February 1995 NBER Behavioral Finance Workshop, the Pacific Capital Markets, Asia Pacific Finance Association and American Finance Association conferences, and Jonathan Berk, Mark Carhart, Randy Cohen, Douglas Diamond, Vijay Fafat, Wayne Ferson, Kenneth French, Narasimhan Jegadeesh, Steven Kaplan, Mark Kritzman, Josef Lakonishok, Craig MacKinlay, Alan Marcus, Chris Polk, Richard Roll, Robert Vishny, and especially Eugene Fama for helpful discussions, comments, and suggestions. We also wish to thank the editor, René Stulz, and an anonymous referee for their thoughtful suggestions. Daniel thanks the Center for Research in Security Prices (CRSP) at the University of Chicago for research support. Titman gratefully acknowledges research support from the John L. Collins, S.J. Chair in International Finance. We are, of course, responsible for any errors.
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
Version of Record online: 18 APR 2012
© 1997 the American Finance Association
The Journal of Finance
Volume 52, Issue 1, pages 1–33, March 1997
How to Cite
DANIEL, K. and TITMAN, S. (1997), Evidence on the Characteristics of Cross Sectional Variation in Stock Returns. The Journal of Finance, 52: 1–33. doi: 10.1111/j.1540-6261.1997.tb03806.x
- Issue online: 18 APR 2012
- Version of Record online: 18 APR 2012
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