The Cross-Section of Expected Stock Returns : What Have We Learnt from the Past Twenty-Five Years of Research ?

Abstract

I review the recent literature on cross-sectional predictors of stock returns. Predictive variables used emanate from informal arguments, alternative tests of risk-return models, behavioural biases, and frictions. More than fifty variables have been used to predict returns. The overall picture, however, remains murky, because more needs to be done to… (More)

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