The Cross-Section of Expected Stock Returns教程.pdfVIP

American Finance Association The Cross-Section of Expected Stock Returns Author(s): Eugene F. Fama and Kenneth R. French Reviewed work(s): Source: The Journal of Finance, Vol. 47, No. 2 (Jun., 1992), pp. 427-465 Published by: Wiley-Blackwell for the American Finance Association Stable URL: /stable/2329112 . Accessed: 16/08/2012 09:22 Your use of the JSTOR archive indicates your acceptance of the Terms Conditions of Use, available at . /page/info/about/policies/terms.jsp . JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@. . Wiley-Blackwell and American Finance Association are collaborating with JSTOR to digitize, preserve and extend access to The Journal of Finance. THE JOURNAL OF FINANCE * VOL. XLVII, NO. 2 * JUNE 1992 The Cross-Section of Expected Stock Returns EUGENE F. FAMA and KENNETH R. FRENCH* 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 3, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in 3 that is unrelated to size, the relation between market /3 and average return is flat, even when 3 is the only explanatory variable. THE ASSET-PRICINGMODELOF Sharpe (1964), Lintner (1965), and Black (1972) has long shaped the way academics and practitioners think about average ret