Another Look at the Cross‐section of Expected Stock Returns
重新检验了股票预期收益的横截面特征，发现用年度数据估计的贝塔风险能带来每年6%至9%的补偿，而账面市值比与收益的关系比Fama和French（1992）更弱且不稳定，并指出其可能受选择偏差影响。
ABSTRACT Our examination of the cross‐section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk when betas are estimated from time‐series regressions of annual portfolio returns on the annual return on the equally weighted market index. The relation between book‐to‐market equity and returns is weaker and less consistent than that in Fama and French (1992). We conjecture that past book‐to‐market results using COMPUS‐TAT data are affected by a selection bias and provide indirect evidence.