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.
%0 Journal Article
%1 fama1992crosssection
%A Fama, Eugene F.
%A French, Kenneth R.
%D 1992
%J The Journal of Finance
%K data-mining factor-empirical-test factor-investing high-minus-low small-minus-big
%N 2
%P 427-465
%R 10.1111/j.1540-6261.1992.tb04398.x
%T The Cross-Section of Expected Stock Returns
%V 47
%X 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.
@article{fama1992crosssection,
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.},
added-at = {2019-04-05T00:51:23.000+0200},
author = {Fama, Eugene F. and French, Kenneth R.},
biburl = {https://www.bibsonomy.org/bibtex/292f2e6dfcbccec8bcdcb60660a195454/antoinefalck},
doi = {10.1111/j.1540-6261.1992.tb04398.x},
interhash = {105cc48d039d15da970608fa961b2fba},
intrahash = {92f2e6dfcbccec8bcdcb60660a195454},
journal = {The Journal of Finance},
keywords = {data-mining factor-empirical-test factor-investing high-minus-low small-minus-big},
number = 2,
pages = {427-465},
timestamp = {2019-04-05T15:27:34.000+0200},
title = {The Cross-Section of Expected Stock Returns},
volume = 47,
year = 1992
}