Conditioning Variables And The Cross Section Of Stock Returns  

Oleh:

Ferson, Wayne E. ; Harvey, Campbell R.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 54 no. 4 (Aug. 1999), page 1325-1360.
Fulltext: p 1325.pdf (248.96KB)

Isi artikel

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.

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