The time-series relations among expected return, risk, and book-to-market

• 成果类型: Article
• 署名作者: Lewellen, J
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(99)00030-6
• 发表日期: 1999
• 页码: 5-43
• 关键词: Asset pricing; Book-to-market; TIME-VARYING RISK; Mispricing

摘要

This paper examines the time-series relations among expected return, risk, and book-to-market (B/M) at the portfolio level. I find that B/M predicts economically and statistically significant time-variation in expected stock returns. Further, B/M is strongly associated with changes in risk, as measured by the Fama and French (1993) (Journal of Financial Economics, 33, 3-56) three-factor model. After controlling for risk, B/M provides no incremental information about expected returns. The evidence suggests that the three-factor model explains time-varying expected returns better than a characteristics-based model. (C) 1999 Elsevier Science S.A. All rights reserved.