The Cross‐Section of Expected Stock Returns
The Cross‐Section of Expected Stock Returns
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DOI：
10.1111/j.1540-6261.1992.tb04398.x
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发表时间：
1992-06
影响因子：
8
通讯作者：
E. Fama;K. French
中科院分区：
文献类型：
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作者：
E. Fama;K. French
两个容易测量的变量，规模和账面市值比，联合收割机，以捕捉横截面的平均股票收益率与市场3，规模，杠杆，账面市值比，和收益价格比的变化。此外，当检验允许3的变化与规模无关时，即使3是唯一的解释变量，市场/3和平均回报之间的关系也是平坦的。夏普（Sharpe，1964）、林特纳（Lintner，1965）和布莱克（Black，1972）的资产定价模型长期以来影响着学术界和从业者对平均收益和风险的看法。该模型的核心预测是，投资财富的市场组合是Markowitz（1959）意义上的均值-方差有效。市场投资组合的有效性意味着：（a）证券的预期收益率是其市场O3（证券收益率对市场收益率的回归斜率）的正线性函数;（B）市场O3足以描述预期收益率的横截面。Sharpe-Lintner-Black（SLB）模型有几个经验上的矛盾。最突出的是Banz（1981）的规模效应。他发现，市场股本，ME（股票的价格乘以流通股），增加了对市场OS提供的平均回报横截面的解释。小（低ME）股票的平均回报太高，因为他们的f估计，大股票的平均回报太低。SLB模型的另一个矛盾是Bhandari（1988）记录的杠杆和平均回报之间的正相关关系。杠杆率与风险和预期收益相关是合理的，但在SLB模型中，杠杆率风险应该被市场S捕获。然而，班达里发现，杠杆有助于解释在包括规模（ME）和A的测试中平均股票回报的横截面。Stattman（1980）和Rosenberg，Reid，and Lanstein（1985）发现，美国股票的平均收益率与公司普通股账面价值BE与市场价值ME之比呈正相关。Chan，Hamao，and Lakonishok（1991）发现，账面价值与市场价值之比BE/ME在解释日本股票平均收益率的横截面方面也具有很强的作用。
Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market 3, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in 3 that is unrelated to size, the relation between market /3 and average return is flat, even when 3 is the only explanatory variable. THE ASSET-PRICING MODEL OF Sharpe (1964), Lintner (1965), and Black (1972) has long shaped the way academics and practitioners think about average returns and risk. The central prediction of the model is that the market portfolio of invested wealth is mean-variance efficient in the sense of Markowitz (1959). The efficiency of the market portfolio implies that (a) expected returns on securities are a positive linear function of their market O3s (the slope in the regression of a security's return on the market's return), and (b) market O3s suffice to describe the cross-section of expected returns. There are several empirical contradictions of the Sharpe-Lintner-Black (SLB) model. The most prominent is the size effect of Banz (1981). He finds that market equity, ME (a stock's price times shares outstanding), adds to the explanation of the cross-section of average returns provided by market Os. Average returns on small (low ME) stocks are too high given their f estimates, and average returns on large stocks are too low. Another contradiction of the SLB model is the positive relation between leverage and average return documented by Bhandari (1988). It is plausible that leverage is associated with risk and expected return, but in the SLB model, leverage risk should be captured by market S. Bhandari finds, howev er, that leverage helps explain the cross-section of average stock returns in tests that include size (ME) as well as A. Stattman (1980) and Rosenberg, Reid, and Lanstein (1985) find that average returns on U.S. stocks are positively related to the ratio of a firm's book value of common equity, BE, to its market value, ME. Chan, Hamao, and Lakonishok (1991) find that book-to-market equity, BE/ME, also has a strong role in explaining the cross-section of average returns on Japanese stocks.