- The Cross|Section of Expected Stock Returns.🔍
- The Cross|Section of Expected Stock Returns🔍
- The Cross‐Section of Expected Stock Returns🔍
- The Cross|section of Expected Stock Returns🔍
- Classes 5 & 6🔍
- War Discourse and the Cross Section of Expected Stock Returns🔍
- The Cross Section of Expected Stock Returns by Jonathan Lewellen🔍
- The cross section of expected stock returns revisited🔍
The Cross|Section of Expected Stock Returns.
Our goal is to evaluate the joint roles of market ẞ, size, E/P, leverage, and book-to-market equity in the cross-section of average returns on NYSE, AMEX, and ...
The Cross-Section of Expected Stock Returns - jstor
O3s (the slope in the regression of a security's return on the market's return), and (b) market O3s suffice to describe the cross-section of expected returns.
The Cross‐Section of Expected Stock Returns - Wiley Online Library
Each month the cross-section of returns on stocks is regressed on variables hypothesized to explain expected returns. The time-series means of the monthly ...
These forecasts mimic how an investor could, in real time, combine many firm characteristics to obtain a composite estimate of a stock's expected return.
The Cross‐Section of Expected Stock Returns - FAMA - 1992
Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with ...
Classes 5 & 6: The Cross-Section of Expected Returns
In Fama and French (1992), the post-ranking betas have a very robust spread, indicating the persistence of CAPM beta at the individual stock ...
The Cross-Section of Expected Stock Returns - IDEAS/RePEc
Abstract. Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated ...
War Discourse and the Cross Section of Expected Stock Returns
Using a semi-supervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160 years, the war factor ...
The Cross Section of Expected Stock Returns by Jonathan Lewellen
This paper studies the cross-sectional properties of return forecasts derived from Fama-MacBeth regressions. These forecasts mimic how an ...
The cross section of expected stock returns revisited - DSpace@MIT
They find that two other variables, size (market equity) and book-to-market equity, combine to capture the cross-sectional variation in average stock returns ...
and the Cross-Section of Expected Returns | Oxford
Over forty years ago, one of the first tests of the capital asset pricing model (CAPM) found that the market beta was a significant explanator ...
Taxable income, future earnings, and equity values. The Accounting. Review 79(4), 1039-1074. Lewellen, J. (2013). The cross-section of expected stock returns.
Expected profitability and the cross-section of stock returns
Abstract. Both the investment CAPM and the dividend discount model posit that expected profitability should positively predict future stock returns in the cross ...
Another Look at the Cross-Section of Expected Stock Returns - jstor
... expected market returns. Page 5. Cross-section of Expected Stock Returns 189 in the estimation of beta and reexamine the return-beta relation over the post ...
2a.3 The Cross Section of Stock Returns - YouTube
Asset Pricing with Prof. John H. Cochrane PART I. Module 2. Facts More course details: ...
Idiosyncratic risk and the cross-section of expected stock returns
A positive relation between idiosyncratic risk and expected return when investors do not diversify their portfolio.
Maxing out Stocks as lotteries and the cross-section of ... - NYU Stern
What determines the cross-section of expected stock returns? This question has been central to modern financial economics since the path breaking work of.
Crash Sensitivity and the Cross Section of Expected Stock Returns
We find that stocks with strong LTD have higher average future returns than stocks with weak LTD. This effect cannot be explained by traditional ...
We document challenges to the notion of a trade-off between systematic risk and expected returns when analyzing the empirical ability of stock character-.
(PDF) The Cross-Section of Expected Stock Returns: An Empirical ...
Our findings indicate that in the Greek stock market there is not a positive relation between risk, measured by ß, and average returns. On the ...