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The Cross‐Section of Expected Stock Returns

Eugene F. Fama, Kenneth R. French

The Journal of Finance · 1992 · 15,079 citationsOpen access

doi.org/10.1111/j.1540-6261.1992.tb04398.xFree full text

Abstract

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 β , size, leverage, book‐to‐market equity, and earnings‐price ratios. Moreover, when the tests allow for variation in β that is unrelated to size, the relation between market β and average return is flat, even when β is the only explanatory variable.

Cite this paper

Fama, E. F., & French, K. R. (1992). The Cross‐Section of expected stock returns. The Journal of Finance, 47(2), 427–465. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x

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