The Role of Beta and Size in the Cross‐Section of European Stock Returns
研究贝塔和规模能否解释12个欧洲国家股票平均收益的截面差异，发现平均收益与贝塔正相关、与规模负相关，且贝塔溢价部分源于国家间差异，国内贝塔溢价仅出现在一月。
This paper examines the ability of beta and size to explain cross‐sectional variation in average returns in 12 European countries. We find that average stock returns are positively related to beta and negatively related to firm size. The beta premium is in part due to the fact that high beta countries outperform low beta countries. Within countries high beta stocks outperform low beta stocks only in January, not in other months. We reject the hypothesis that differences in average returns on size‐ and beta‐sorted portfolios can be explained by market risk and exposure to the excess return of small over large stocks (SMB). Consistent with recent US evidence, we find that after controlling for size, there is no association between average returns and exposure to SMB.