Commonality in the determinants of expected stock returns

Journal of Financial Economics

Volumn 41, Issue 3, 1996, Pages 401-439

  Haugen, Robert A ^a   Baker, Nardin L ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b Mayo   (United States)

Author keywords

Cross sectional prediction; International; Market efficiency

Indexed keywords

EID: 0030191640     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-405X(95)00868-F     Document Type: Article

References (27)

1. Amihud, Yakov and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.
2. Ball, Ray, S.P. Kothari, and Jay Shanken, 1995, Problems in measuring portfolio performance: An application to contrarian investment strategies, Journal of Financial Economics 38, 79-107.
3. Ball, Ray, S.P. Kothari, and Charles E. Wasley, 1995, Can we implement research on stock trading rules?, Journal of Portfolio Management 21, 54-63.
4. Bernard, Victor L. and Jacob K. Thomas, 1990, Evidence that stock prices do not fully reflect the implications of current earnings for future earnings, Journal of Accounting and Economics 13, 305-340.
5. Black, Fischer, 1993, Beta and return, Journal of Portfolio Management 20, 8-18.
6. Box, George E.P. and D.R. Cox, 1964, An analysis of transformations, Journal of the Royal Statistical Society, 211.
7. Brown, Stephen J. and William N. Goetzmann, 1995, Performance persistence, Journal of Finance 50, 679-698.
8. Brown, Stephen J., William N. Goetzmann, and Stephen A. Ross, 1995, Survival, Journal of Finance 50, 853-873.
9. Chan, K.C. and Naifu Chen, 1991, Structural and return characteristics of small and large firms, Journal of Finance 46, 1467-1484.
10. Chen, Naifu, 1983, Some empirical tests of the theory of arbitrage pricing, Journal of Finance 38, 1393-1414.
11. Chen, Naifu, 1991, Financial investment opportunities and the macroeconomy, Journal of Finance 46, 529-554.
12. Chopra, Navin, Josef Lakonishok, and Jay Ritter, 1992, Measuring abnormal performance: Do stocks overreact?, Journal of Financial Economics 31, 235-268.
13. Davis, James L., 1994, The cross-section of realized stock returns: The pre-Compustat evidence, Journal of Finance 49, 1579-1593.
14. De Bondt, Werner F.M. and Richard H. Thaler, 1985, Does the stock market overreact?, Journal of Finance 40, 793-808.
15. Fama, Eugene F. and Kenneth R. French, 1992, The cross-section of expected returns, Journal of Finance 47, 427-465.
16. Fama, Eugene F. and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
17. Fama, Eugene F. and James D. MacBeth, 1973, Risk, return and equilibrium-empirical tests, Journal of Political Economy 81, 607-636.
18. French, Kenneth R., William Schwert, and Ronald Stambaugh, 1987, Expected stock return and volatility, Journal of Financial Economics 19, 3-29.
19. Haugen, Robert A., 1995, The new finance - The case against efficient markets (Prentice-Hall, Englewood Cliffs, NJ).
20. Haugen, Robert A., Eli Talmor, and Walter Torous, 1991, The effect of volatility changes on the level of stock prices and subsequent expected returns. Journal of Finance 46, 985-1007.
21. Jegadeesh, Narasimhan, 1990, Evidence of predictable behavior of security returns, Journal of Finance 45, 881-898.
22. Jegadeesh, Narasimhan and Sheridan Titman, 1993, Returns to buying winners and selling losers, Journal of Finance 48, 65-91.
23. Kothari, S.P., Jay Shanken, and Richard G. Sloan, 1995, Another look at the cross-section of expected stock returns, Journal of Finance 50, 185-224.
24. Lakonishok, Josef, Andrei Shleifer, and Robert Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541- 1578.
25. Lo, Andrew W. and Craig MacKinlay, 1990, Data-snooping biases in tests of asset pricing models, Review of Financial Studies 3, 431-467.
26. Merton, Robert C, 1987, On the current state of the stock market rationality hypothesis, in: R. Ornbusch, S. Fischer, and J. Bossons, eds., Macroeconomics and finance: Essays in honor of Franco Modigliani (MIT Press, Cambridge, MA) 93-124.
27. Stoll, Hans and Robert E. Whaley, 1983, Transactions costs and the small firm effect: A comment, Journal of Financial Economics 12, 57-88.