Cross-section of Equity Returns Motivated by Fama and French

DOI: 10.5176/2251-2012_QQE21

Authors: Lim Tze Jian and Ngerng Miang Hong

Abstract:

The market β has been at the core of finance texts for decades. Fama and French (1992) find startling results that decry the importance of the β as a major explanatory variable for stock returns. We continue in that fashion, and attempt to discover other variables that may have an importance in explaining stock returns. We also run the Fama-French size and book-to-market ratios tests on our dataset in order to have a point of comparison for our model.

Keywords: cross-section, equity returns, stock returns

LinkOut:    ScienceDirect