The Cross-Section of Realized Stock Returns: The Pre- Compustat Evidence
Posted: 10 May 2000
Using a database that is free of survivorship bias, this paper finds that book-to-market equity, earnings yield and cash flow yield have significant explanatory power with respect to the cross-section of realized stock returns during the period from July, 1940 to June, 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample.
JEL Classification: G1, G12, G14
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