Conditioning variables and the cross section of stock returns

• 成果类型: Article; Proceedings Paper
• 署名作者: Ferson, WE; Harvey, CR
• 署名单位: University of Washington; University of Washington Seattle; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00148
• 发表日期: 1999
• 页码: 1325-1360
• 关键词: BOOK-TO-MARKET; asset pricing-models; Expected returns; firm size; ECONOMIC-SIGNIFICANCE; empirical-evidence; SECURITY RETURNS; COMMON-STOCKS; RISK; performance

摘要

Previous studies identify predetermined variables that predict stock and bond returns through time. This paper shows that loadings on the same variables provide significant cross-sectional explanatory power for stock portfolio returns. The loadings are significant given the three factors advocated by Fama and French (1993) and the four factors of Elton, Gruber, and Blake (1995). The explanatory power of the loadings on lagged variables is robust to various portfolio grouping procedures and other considerations. The results carry implications for risk analysis, performance measurement, cost-of-capital calculations, and other applications.