The common trend and the cross-section of expected returns

In order to explain the variation of the cross-section of expected returns, we consider a long-run beta which takes account of the common stochastic trends between stock prices. Using the same data as those used by Fama and French (1992), it is found that the long-run beta shows an explanatory potential of the variation of the cross-sectional average returns.

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Year of publication:	2005
Authors:	Kurz-Kim, Jeong-Ryeol
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 1.2005, 5, p. 269-271
Publisher:	Taylor and Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005279160