Another Look at the Cross-Section of Expected Stock Returns

Posted: 14 Apr 1999

See all articles by Jay A. Shanken

Jay A. Shanken

Emory University - Goizueta Business School; National Bureau of Economic Research (NBER)

Richard G. Sloan

University of Southern California - Leventhal School of Accounting

Abstract

Our examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9% per annum) for beta risk when betas are estimated from time-series regressions of annual portfolio returns on the annual return on the equal-weighted market index. The relation between book-to-market equity and returns is weaker than that in Fama and French (1992a). We conjecture that book-to-market results using COMPUSTAT data are affected by a selection bias and provide indirect evidence.

JEL Classification: G12

Suggested Citation

Shanken, Jay A. and Sloan, Richard G., Another Look at the Cross-Section of Expected Stock Returns. Journal of Finance, Vol. 50, No. 1, March 1995. Available at SSRN: https://ssrn.com/abstract=5905

Jay A. Shanken (Contact Author)

Emory University - Goizueta Business School ( email )

1300 Clifton Road
Atlanta, GA 30322-2722
United States
404-727-4772 (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Richard G. Sloan

University of Southern California - Leventhal School of Accounting ( email )

Los Angeles, CA 90089-0441
United States

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