The DOI matches its Crossref record.
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
Open accessAbstract
Firm size and book-to-market ratios are both highly correlated with the returns of common stocks.Fama and French (1993) have argued that the association between these firm characteristics and their stock returns arises because size and book-to-market ratios are proxies for non-diversifiable factor risk.In contrast, the evidence in this paper indicates that the return premia on small capitalization and high book-to-market stocks does not arise because of the comovements of these stocks with pervasive factors.It is the firm characteristics and not the covariance structure of returns that explain the cross-sectional variation in stock returns.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cited by
Corporate Financial Policy and the Value of Cash
FAULKENDER, M., & WANG, R. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00894.x · Cited by 1,634
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
Characteristics are covariances: A unified model of risk and return
Kelly, B. T., Pruitt, S., & Su, Y. (2019) · Journal of Financial Economics · doi:10.1016/j.jfineco.2019.05.001 · Cited by 809
Disagreement, tastes, and asset prices
Fama, E. F., & French, K. R. (2007) · Journal of Financial Economics · doi:10.1016/j.jfineco.2006.01.003 · Cited by 689
The Cross Section of Expected REIT Returns
Chui, A. C. W., Titman, S., & Wei, K. C. J. (2003) · Real Estate Economics · doi:10.1111/1540-6229.00073 · Cited by 518
Self-citation
Metadata
- Authors
- Daniel, K., & Titman, S.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 1996-06
- OpenAlex
- W2891659561
- Cited by
- 377
- References
- 0
- Type
- report
- Language
- en
- Open access
- green
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Evidence on the Characteristics of Cross Sectional Variation in Stock Returns. https://app.cochat.ai/papers/10.3386/w5604
- The paper
- Daniel, K., & Titman, S. (1996). Evidence on the Characteristics of Cross Sectional Variation in Stock Returns. National Bureau of Economic Research. https://doi.org/10.3386/w5604
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
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.
