Another Look at the Cross-Section of Expected Stock Returns

S P Kothari, Jay Shanken () and Richard G Sloan

Journal of Finance, 1995, vol. 50, issue 1, pages 185-224

Abstract: The authors' 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). The authors conjecture that past book-to-market results using COMPUSTAT data are affected by a selection bias and provide indirect evidence. Copyright 1995 by American Finance Association.

Date: 1995
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