EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
The common trend and the cross-section of expected returns
, 2005, vol. 1, issue 5, pages 269-271
Applied Financial Economics Letters Abstract:
In order to explain the variation of the cross-section of expected returns, we consider a long-run beta which takes account of the common stochastic trends between stock prices. Using the same data as those used by Fama and French (1992), it is found that the long-run beta shows an explanatory potential of the variation of the cross-sectional average returns.
References: View references in EconPapers View complete reference list from CitEc Citations Track citations by RSS feed
Downloads: (external link) http://taylorandfrancis.metapress.com/link.asp?tar ... &id=V20GX8013Q646702 (text/html)
Access to full text is restricted to subscribers.
Related works: This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:taf:apfelt:v:1:y:2005:i:5:p:269-271
Ordering information: This journal article can be ordered from http://www.tandf.co. ... /titles/17446546.asp
Access Statistics for this article
Applied Financial Economics Letters is edited by
More articles in Applied Financial Economics Letters from Taylor and Francis Journals
Series data maintained by Michael McNulty ().