The common trend and the cross-section of expected returns

Jeong-Ryeol Kurz-Kim

Applied Financial Economics Letters, 2005, vol. 1, issue 5, pages 269-271

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.

Date: 2005
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