The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research?
University of California, Los Angeles (UCLA) - Finance Area
August 24, 2009
European Financial Management, Forthcoming
I review the recent literature on cross-sectional predictors of stock returns. Predictive variables used emanate from informal arguments, alternative tests of risk-return models, behavioral biases, and frictions. More than fifty variables have been used to predict returns. The overall picture, however, remains murky, because more needs to be done to consider the correlational structure amongst the variables, use a comprehensive set of controls, and discern whether the results survive simple variations in methodology.
Number of Pages in PDF File: 47
Keywords: market efficiency, cross-section of stock returns
JEL Classification: G12, G14Accepted Paper Series
Date posted: August 26, 2009 ; Last revised: September 30, 2009
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