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Cited by 17,261Financial Markets and Investment StrategiesFinancial Analysis and Corporate GovernanceCorporate Finance and Governance

The Cross‐Section of Expected Stock Returns

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FAMA, EUGENE F., FRENCH, KENNETH R.·1992·The Journal of Finance
DOI 10.1111/j.1540-6261.1992.tb04398.x
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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.

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Crossref · 10.1111/j.1540-6261.1992.tb04398.x

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1 of 1 references verified0 citation errors · 0 not checkable

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  • Fama and French (1992) report that equity returns are negatively related to firm size, positively related to the book-to-market ratio and, controlling for firm size and book-to-market ratio, unrelated to equity betas.

    “First, Fama and French (1992) report that equity returns are negatively related to firm size, positively related to the book-tomarket ratio and, controlling for firm size and book-to-market ratio, unrelated to equity betas.”

    From The Valuation of Cash Flow Forecasts: An Empirical Analysis (1995) · cites this paper as Fama and French (1992)

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Authors
FAMA, E. F., & FRENCH, K. R.
Affiliations
University of Chicago (US)
Venue
The Journal of Finance
Publisher
Wiley
Published
1992-06
Volume
47
Issue
2
Pages
427-465
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1992.tb04398.x
OpenAlex
W2166215547
Cited by
17,261
References
1
Citations by year
2026: 183 · 2025: 511 · 2024: 721 · 2023: 765 · 2022: 698 · 2021: 791 · 2020: 747 · 2019: 741 · 2018: 709 · 2017: 784 · 2016: 798 · 2015: 895 · 2014: 876 · 2013: 829 · 2012: 906
FWCI
148.88
Type
journal article
Language
en
Open access
Licence
onlinelibrary.wiley.com/termsAndConditions#vor (vor, 7273 d)
Locations
  • The Journal of Finance (publishedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
  • Social Sciences › Business, Management and Accounting › Accounting › Financial Analysis and Corporate Governance
  • Social Sciences › Business, Management and Accounting › Accounting › Corporate Finance and Governance
Keywords
cross-section of stock returns, size effect, book-to-market equity, market beta, leverage, earnings-to-price ratio, asset pricing anomalies, expected stock returns

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