The Cross‐Section of Realized Stock Returns: The Pre‐COMPUSTAT Evidence
使用无生存偏差的数据库，发现1940年7月至1963年6月期间，账面市值比、盈利收益率和现金流收益率对已实现股票回报的横截面有显著解释力，且这些变量的解释力存在强一月季节性。
ABSTRACT Using a database that is free of survivorship bias, this article 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 through 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.