Another Look at the Cross-Section of Expected Stock Returns
重新检验了预期股票收益的横截面，发现用年收益率回归估计的贝塔风险有显著补偿（年化6-9%），而账面市值比与收益的关系弱于Fama-French（1992a），并推测COMPUSTAT数据存在选择偏差。
Our examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9% per annum) for beta risk when betas are estimated from time-series regressions of annual portfolio returns on the annual return on the equal-weighted market index. The relation between book-to-market equity and returns is weaker than that in Fama and French (1992a). We conjecture that book-to-market results using COMPUSTAT data are affected by a selection bias and provide indirect evidence.