The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Another Look at the Cross‐section of Expected Stock Returns
Abstract
Our examination of the cross‐section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk when betas are estimated from time‐series regressions of annual portfolio returns on the annual return on the equally weighted market index. The relation between book‐to‐market equity and returns is weaker and less consistent than that in Fama and French (1992). We conjecture that past book‐to‐market results using COMPUS‐TAT data are affected by a selection bias and provide indirect evidence.
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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
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Cited by
Size and Book‐to‐Market Factors in Earnings and Returns
FAMA, E. F., & FRENCH, K. R. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb05169.x · Cited by 3,430
Investor Psychology and Asset Pricing
(2001) · The Journal of Finance · doi:10.1111/0022-1082.00379 · Cited by 2,357
Size, value, and momentum in international stock returns
Fama, E. F., & French, K. R. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.05.011 · Cited by 1,767
Why Has CEO Pay Increased So Much?*
Gabaix, X., & Landier, A. (2008) · Quarterly Journal of Economics · doi:10.1162/qjec.2008.123.1.49 · Cited by 1,764
Liquidity and stock returns: An alternative test
Datar, V. T., Y. Naik, N., & Radcliffe, R. (1998) · Journal of Financial Markets · doi:10.1016/s1386-4181(97)00004-9 · Cited by 1,312
Metadata
- Authors
- KOTHARI, S. P., SHANKEN, J., & SLOAN, R. G.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1995-03
- Volume
- 50
- Issue
- 1
- Pages
- 185-224
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2096865524
- Cited by
- 1,007
- References
- 2
- FWCI
- 69.14
- Type
- journal article
- Language
- en
- Open access
- closed
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- KOTHARI, S. P., SHANKEN, J., & SLOAN, R. G. (1995). Another Look at the Cross‐section of Expected Stock Returns. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1995.tb05171.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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