The Cross‐Section of Realized Stock Returns: The Pre‐COMPUSTAT Evidence

The Cross‐Section of Realized Stock Returns: The Pre‐COMPUSTAT Evidence ABSTRACT Using a database that is free of survivorship bias, this article finds that book‐to‐market equity, earnings yield, and cash flow yield have significant explanatory power with respect to the cross‐section of realized stock returns during the period from July 1940 through June 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

The Cross‐Section of Realized Stock Returns: The Pre‐COMPUSTAT Evidence

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Publisher
Wiley
Copyright
1994 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
D.O.I.
10.1111/j.1540-6261.1994.tb04773.x
Publisher site
See Article on Publisher Site

Abstract

ABSTRACT Using a database that is free of survivorship bias, this article finds that book‐to‐market equity, earnings yield, and cash flow yield have significant explanatory power with respect to the cross‐section of realized stock returns during the period from July 1940 through June 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample.

Journal

The Journal of FinanceWiley

Published: Dec 1, 1994

References

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