Article1994

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

Unknown author

391 citations0/0 files storedThe Journal of Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Reporting and Valuation Research

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 391 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS 1987Further Evidence On Investor Overreaction and Stock Market Seasonality 1985Persuasive evidence of market inefficiency 1983Size-related anomalies and stock return seasonality 1991Fundamentals and Stock Returns in Japan

Cited by

2003Underpricing and long-term performance of IPOs in China 2010Is Default Risk Negatively Related to Stock Returns?1996Evidence on the Characteristics of Cross Sectional Variation in Stock Returns 1997Book-To-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?1998An Asymptotic Theory for Estimating Beta‐Pricing Models Using Cross‐Sectional Regression 2004Value and Growth Investing: Review and Update

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.