The Cross Section of Common Stock Returns

Released on by Donald B. Keim
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  • The Cross Section of Common Stock Returns Book Detail

  • Author : Donald B. Keim
  • Release Date : 2011
  • Publisher :
  • Genre :
  • Pages :
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  • File Size : 59,59 MB
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The Cross Section of Common Stock Returns by Donald B. Keim PDF Summary

Book Description: A growing number of empirical studies suggest that betas of common stocks do not adequately explain cross-sectional differences in stock returns. Instead, a number of other variables (e.g., size, ratio of book to market, earnings/price) that have no basis in extant theoretical models seem to have significantly predictive ability. Some interpret the findings as evidence of market efficiency. Others argue that the Capital Asset Pricing Model is an incomplete description of equilibrium price formation and these variables are proxies for additional risk factors. In this paper we review the evidence on the cross-sectional behavior of common stock returns on the U.S. and other equity markets around the world. We also report some new evidence on these cross-sectional relations using data from both U.S. and international stock markets. We find, among other results, that although the return premia associated with these ad hoc variables are significant in most international stock markets, the premia are uncorrelated across markets. The accumulating evidence prompts the following question: If these return premia occur primarily in January and are uncorrelated across major international equity markets, is it reasonable to characterize them as compensation for risk?

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The Cross Section of Common Stock Returns

The Cross Section of Common Stock Returns

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A growing number of empirical studies suggest that betas of common stocks do not adequately explain cross-sectional differences in stock returns. Instead, a num

Empirical Asset Pricing

Empirical Asset Pricing

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“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be