The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research?

European Financial Management, Forthcoming

47 Pages Posted: 26 Aug 2009 Last revised: 30 Sep 2009

See all articles by Avanidhar Subrahmanyam

Avanidhar Subrahmanyam

University of California, Los Angeles (UCLA) - Finance Area; Institute of Global Finance, UNSW Business School; Financial Research Network (FIRN)

Multiple version iconThere are 2 versions of this paper

Date Written: August 24, 2009

Abstract

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.

Keywords: market efficiency, cross-section of stock returns

JEL Classification: G12, G14

Suggested Citation

Subrahmanyam, Avanidhar, The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (August 24, 2009). European Financial Management, Forthcoming . Available at SSRN: https://ssrn.com/abstract=1461185

Avanidhar Subrahmanyam (Contact Author)

University of California, Los Angeles (UCLA) - Finance Area ( email )

Los Angeles, CA 90095-1481
United States
310-825-5355 (Phone)
310-206-5455 (Fax)

Institute of Global Finance, UNSW Business School

Sydney, NSW 2052
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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