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16,890
Industry Concentration and Average Stock Returns
- THE JOURNAL OF FINANCE
, 2006
"... Firms in more concentrated industries earn lower returns, even after controlling for size, book-to-market, momentum, and other return determinants. Explanations based on chance, measurement error, capital structure, and persistent in-sample cash flow shocks do not explain this finding. Drawing on wo ..."
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Cited by 79 (5 self)
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Firms in more concentrated industries earn lower returns, even after controlling for size, book-to-market, momentum, and other return determinants. Explanations based on chance, measurement error, capital structure, and persistent in-sample cash flow shocks do not explain this finding. Drawing
Endogenous Information, Risk Characterization, and the Predictability of Average Stock Returns
"... In this paper we provide a new type of risk characterization of the predictability of two widely known abnormal patterns in average stock returns: momentum and reversal. The purpose is to illustrate the relative importance of common risk factors and endogenous in-formation. Our results demonstrate t ..."
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In this paper we provide a new type of risk characterization of the predictability of two widely known abnormal patterns in average stock returns: momentum and reversal. The purpose is to illustrate the relative importance of common risk factors and endogenous in-formation. Our results demonstrate
Liquidity Risk and Expected Stock Returns
, 2002
"... This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-sto ..."
Abstract
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Cited by 629 (6 self)
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This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock
The relationship between return and market value of common stocks
- Journal of Financial Economics
, 1981
"... This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect ’ has been in existence for at least forty years and is evidence ..."
Abstract
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Cited by 791 (0 self)
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This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect ’ has been in existence for at least forty years and is evidence
Common Risk Factors in the Returns On Stocks And Bonds
- Journal of Financial Economics
, 1993
"... This paper identities five common risk factors in the returns on stocks and bonds. There are three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity. There are two bond-market factors. related to maturity and default risks. Stock returns have s ..."
Abstract
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Cited by 2237 (33 self)
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shared variation due to the stock-market factors, and they are linked to bond returns through shared variation in the bond-market factors. Except for low-grade corporates. the bond-market factors capture the common variation in bond returns. Most important. the five factors seem to explain average
Illiquidity and stock returns: cross-section and time-series effects,
- Journal of Financial Markets
, 2002
"... Abstract This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium. This complements the cross-sectional positive return-illiquidity relationship. Also, stock ret ..."
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Cited by 864 (9 self)
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returns are negatively related over time to contemporaneous unexpected illiquidity. The illiquidity measure here is the average across stocks of the daily ratio of absolute stock return to dollar volume, which is easily obtained from daily stock data for long time series in most stock markets. Illiquidity
Expected stock returns and volatility
- Journal of Financial Economics
, 1987
"... This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evid ..."
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Cited by 716 (10 self)
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This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also
Stock Returns and the Term Structure
- Journal of Financial Economics
, 1987
"... (Article begins on next page) The Harvard community has made this article openly available. Please share how this access benefits you. Your story matters. ..."
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Cited by 570 (26 self)
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(Article begins on next page) The Harvard community has made this article openly available. Please share how this access benefits you. Your story matters.
The cross-section of expected stock returns
- Journal of Finance
, 1992
"... Your use of the JSTOR archive indicates your acceptance of JSTOR ' s Terms and Conditions of Use, available at ..."
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Cited by 2049 (25 self)
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Your use of the JSTOR archive indicates your acceptance of JSTOR ' s Terms and Conditions of Use, available at
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