Abstract
Two easily measured variables, size and book-to-market equity, combine to capture
the cross-sectional variation in average stock returns associated with market 8,
size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the
tests allow for variation in p that is unrelated to size, the relation between market
p and average return is flat, even when 8 is the only explanatory variable.
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