Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/62858
Title: Understanding cross-sectional stock returns : what really matters?
Authors: Wang, Y
Keywords: Empirical finance
Asset pricing
Issue Date: 2008
Publisher: World Business Institute
Source: International review of business research papers, 2008, v. 4, no. 3, p. 256-268 How to cite?
Journal: International review of business research papers 
Abstract: We run a horse race among eight proposed factors and eight proposed conditioning variables for explaining the cross-section of stock returns. The purpose is to better understand which factors, in combination with which conditioning variables, seem robust in explaining cross-sectional data, and to seek an economic interpretation of the specifications that appear most promising. We find that a consumption growth factor, conditioning on lagged business income growth, is the most successful in explaining cross-sectional variation of average quarterly returns in the 25 Fama-French portfolios.
URI: http://hdl.handle.net/10397/62858
ISSN: 1837-5685
EISSN: 1832-9543
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