The Cross‐Section of Expected Stock Returns: What Have We Learnt from the Past Twenty‐Five Years of Research?
回顾了关于股票收益横截面预测因子的近期文献，指出超过五十个变量被用于预测收益，但整体图景仍不明朗，需要更多研究考虑变量间的相关结构、使用全面控制变量并检验方法稳健性。
Abstract I review the recent literature on cross‐sectional predictors of stock returns. Predictive variables used emanate from informal arguments, alternative tests of risk‐return models, behavioural biases, and frictions. More than fifty variables have been used to predict returns. The overall picture, however, remains murky, because more needs to be done to consider the correlational structure amongst the variables, use a comprehensive set of controls, and discern whether the results survive simple variations in methodology .