The Cross-Section of Realized Stock Returns: The Pre- Compustat Evidence

Posted: 10 May 2000  

James L. Davis

Dimensional Fund Advisors Inc.

Abstract

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

Suggested Citation

Davis, James L., The Cross-Section of Realized Stock Returns: The Pre- Compustat Evidence. JOURNAL OF FINANCE, VOL. 49, NO. 5, December 1994. Available at SSRN: https://ssrn.com/abstract=5654

James L. Davis (Contact Author)

Dimensional Fund Advisors Inc. ( email )

1299 Ocean Avenue, 11th Floor
Santa Monica, CA 90401
United States

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