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The Cross‐Section of Expected Stock Returns

Eugene F. Fama; Kenneth R. French · The Journal of Finance · 1992

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Author / responsible party
Eugene F. Fama; Kenneth R. French
Publisher
The Journal of Finance
Year
1992
Language
English

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ABSTRACT Two easily measured variables, size and book‐to‐market equity, combine to capture the cross‐sectional variation in average stock returns associated with market β , size, leverage, book‐to‐market equity, and earnings‐price ratios. Moreover, when the tests allow for variation in β that is unrelated to size, the relation between market β and average return is flat, even when β is the only explanatory variable.

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APA 7

Fama, E. F. & French, K. R. (1992). The Cross‐Section of Expected Stock Returns. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x

MLA

Fama, Eugene F, and Kenneth R. French. "The Cross‐Section of Expected Stock Returns." 1992. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x.

Chicago

Fama, Eugene F. and Kenneth R. French. 1992. "The Cross‐Section of Expected Stock Returns.". https://doi.org/10.1111/j.1540-6261.1992.tb04398.x.

Harvard

Fama, E. F. and French, K. R. 1992, The Cross‐Section of Expected Stock Returns, The Journal of Finance, available at: https://doi.org/10.1111/j.1540-6261.1992.tb04398.x [Accessed 7 Aug. 2026].

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Title
The Cross‐Section of Expected Stock Returns
Author / contributors
Eugene F. Fama; Kenneth R. French
Publisher
The Journal of Finance
Publication year
1992
Language
English

Subjects

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Equity (law); Econometrics; Economics; Financial economics; Earnings; Leverage (statistics); Stock market; Stock (firearms); Market size; Statistics; Mathematics; Accounting
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