The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings

Gabriel Hawawini () and Donald Keim ()

INSEAD from INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration.

Abstract: In this paper we review the evidence on the cross-sectional behaviour of common stock returns in the US and other equity markets around the world. Since the early 1980's, a growing number of empirical studies have documented the presence of persistent cross-sectional patterns in stock returns that do not support one of the fundamental tenets of modern finance: expected stock returns are determined by their level of beta risk through a positive and linear relationship known as the capital asset pricing model, or CAPM.

Keywords: EQUITY; STOCKS (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Pages: 41 pages
Date: 1997
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Working Paper: The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
Working Paper: The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
Working Paper: The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
Working Paper: The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
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Persistent link: https://EconPapers.repec.org/RePEc:fth:insead:97/66

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