Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
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DOI：
10.1111/j.1540-6261.1997.tb03806.x
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发表时间：
1996-06
期刊：
影响因子：
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通讯作者：
Kent D. Daniel;S. Titman
中科院分区：
文献类型：
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作者：
Kent D. Daniel;S. Titman
公司规模和账面市值比都与普通股的回报率高度相关。法马和弗伦奇（French，1993）认为，这些公司特征与其股票收益之间的关联是因为规模和账面市值比是不可分散因素风险的代理。相反，本文的证据表明，小市值和高账面市值股票的回报溢价并没有出现，因为这些股票的共同运动与普遍的因素。这是公司的特性，而不是收益的协方差结构，解释了股票收益的横截面变化。
Firm size and book-to-market ratios are both highly correlated with the returns of common stocks. Fama and French (1993) have argued that the association between these firm characteristics and their stock returns arises because size and book-to-market ratios are proxies for non-diversifiable factor risk. In contrast, the evidence in this paper indicates that the return premia on small capitalization and high book-to-market stocks does not arise because of the co-movements of these stocks with pervasive factors. It is the firm characteristics and not the covariance structure of returns that explain the cross-sectional variation in stock returns.