An Empirical Re‐Examination of the Cross‐Section of Expected Returns: UK Evidence
在英国市场检验Fama-French（1992）分析，发现账面市值比和市场杠杆显著解释平均收益，但规模效应不显著，且存在负的贝塔-收益关系。
This paper is a study of the Fama and French (1992) analysis in the UK context. Consistent with their findings, our results do not support a positive relationship between beta and average monthly returns. We find that book‐to‐market equity and market leverage are consistently significant in explaining UK average returns. Contrary to the Fama‐French evidence, size has an insignificant effect on average returns. A puzzling negative beta‐returns relationship is found in some monthly regressions, and results based on annual data reveal a reversal of betas for the smallest‐size portfolios. Some possible explanations are offered for these findings.