The Cross‐Section of Expected Stock Returns
发现规模和账面市值比两个变量能解释股票平均收益的横截面差异，而市场贝塔与平均收益的关系不显著。
ABSTRACT Two easily measured variables, size and book‐to‐market equity, combine to capture the cross‐sectional variation in average stock returns associated with market β , size, leverage, book‐to‐market equity, and earnings‐price ratios. Moreover, when the tests allow for variation in β that is unrelated to size, the relation between market β and average return is flat, even when β is the only explanatory variable.