X-Message-Number: 9912 Date: Thu, 18 Jun 1998 11:29:12 -0700 (PDT) From: Doug Skrecky <> Subject: cross-section of expected stock returns The Journal of Finance XLVII(2): 427-465 June 1992 Eugene F. Fama and Kenneth R. French "The Cross-Section of Expected Stock Returns" 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 beta, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in beta that is unrelated to size, the relation between market beta and average return is flat, even when beta is the only explanatory variable. Additional note by poster: The above financial research report is the one that is most quoted , and has become quite famous in certain circles. Since this report came out in 1992, subsequent research is begining to favour a role for beta (or volitility) in returns, and the role of firm size has been deemphasized. However no rational explanation has since been found for the association of book-to-market to returns, although sales-to-price now looks to be important as well. Rate This Message: http://www.cryonet.org/cgi-bin/rate.cgi?msg=9912