The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings.

In this paper we review the evidence on the cross-sectional behavior of common stock returns on the U.S. and other equity markets around the world. We also report some new evidence on these cross-sectional relations using data from both U.S. and international stock markets. We find, among other results, that although the return premia associated with these ad hoc variables are significant in morst international markets, the premia are uncorrelated across markets.