The Cross-section of Expected Stock Returns

  title={The Cross-section of Expected Stock Returns},
  author={J. Lewellen},
This paper studies the cross-sectional properties of return forecasts derived from Fama-MacBeth regressions. These forecasts mimic how an investor could, in real time, combine many firm characteristics to obtain a composite estimate of a stock’s expected return. Empirically, the forecasts vary substantially across stocks and have strong predictive power for actual returns. For example, using ten-year rolling estimates of FamaMacBeth slopes and a cross-sectional model with 15 firm… CONTINUE READING
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