The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Equilibrium Cross Section of Returns
Open accessAbstract
We construct a dynamic general equilibrium production economy to explicitly link expected stock returns to firm characteristics such as firm size and the book‐to‐market ratio. Stock returns in the model are completely characterized by a conditional capital asset pricing model (CAPM). Size and book‐to‐market are correlated with the true conditional market beta and therefore appear to predict stock returns. The cross‐sectional relations between firm characteristics and returns can subsist even after one controls for typical empirical estimates of beta. These findings suggest that the empirical success of size and book‐to‐market can be consistent with a single‐factor conditional CAPM model.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Conditioning variables and the cross-section of stock returns
Ferson, W. E., & Harvey, C. R. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00148 · Cited by 839
Cited by
Investor Sentiment and the Cross‐Section of Stock Returns
BAKER, M., & WURGLER, J. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00885.x · Cited by 6,049
Investor Sentiment and the Cross-section of Stock Returns
Baker, M. P., & Wurgler, J. A. (2003) · SSRN Electronic Journal · doi:10.2139/ssrn.464843 · Cited by 1,456
Asset Pricing Models and Financial Market Anomalies
Avramov, D., & Chordia, T. (2006) · Review of Financial Studies · doi:10.1093/rfs/hhj025 · Cited by 523
Asset Pricing Implications of Nonconvex Adjustment Costs and Irreversibility of Investment
COOPER, I. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00832.x · Cited by 363
Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability
Avramov, D., Cheng, S., & Metzker, L. (2023) · Management Science · doi:10.1287/mnsc.2022.4449 · Cited by 217
Metadata
- Authors
- Gomes, J., Kogan, L., & Zhang, L.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 2003-08
- Volume
- 111
- Issue
- 4
- Pages
- 693-732
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W1536779365
- Cited by
- 782
- References
- 2
- FWCI
- 45.27
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
