Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
发现股票收益的横截面差异主要由公司规模和账面市值比等特征解释，而非与共同风险因子的协方差结构，对理解资产定价模型有重要意义。
ABSTRACT Firm sizes and book‐to‐market ratios are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that the association between these characteristics and returns arise because the characteristics are proxies for nondiversifiable factor risk. In contrast, the evidence in this article indicates that the return premia on small capitalization and high book‐to‐market stocks does not arise because of the comovements of these stocks with pervasive factors. It is the characteristics rather than the covariance structure of returns that appear to explain the cross‐sectional variation in stock returns.