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1、AmericanFinanceAssociationTheCross-SectionofExpectedStockReturnsAuthor(s):EugeneF.FamaandKennethR.FrenchReviewedwork(s):Source:TheJournalofFinance,Vol.47,No.2(Jun.,1992),pp.427-465Publishedby:WileyfortheAmericanFinanceAssociationStableURL:http://www.jstor.org/stable/2329112.Accessed:23/01/201
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4、ownloadedonWed,23Jan201316:38:26PMAllusesubjecttoJSTORTermsandConditionsTHEJOURNALOFFINANCE*VOL.XLVII,NO.2*JUNE1992TheCross-SectionofExpectedStockReturnsEUGENEF.FAMAandKENNETHR.FRENCH*ABSTRACTTwoeasilymeasuredvariables,sizeandbook-to-marketequity,combinetocapturethecross-sectionalvariationina
5、veragestockreturnsassociatedwithmarket3,size,leverage,book-to-marketequity,andearnings-priceratios.Moreover,whenthetestsallowforvariationin3thatisunrelatedtosize,therelationbetweenmarket/3andaveragereturnisflat,evenwhen3istheonlyexplanatoryvariable.THEASSET-PRICINGMODELOFSharpe(1964),Lintner(
6、1965),andBlack(1972)haslongshapedthewayacademicsandpractitionersthinkaboutaveragereturnsandrisk.Thecentralpredictionofthemodelisthatthemarketportfolioofinvestedwealthismean-varianceefficientinthesenseofMarkowitz(1959).Theefficiencyofthemarketportfolioimpliesthat(a)expectedreturnsonsecuritiesa
7、reapositivelinearfunctionoftheirmarketO3s(theslopeintheregressionofasecurity'sreturnonthemarket'sreturn),and(b)marketO3ssufficetodescribethecross-sectionofexpectedreturns.ThereareseveralempiricalcontradictionsoftheSharpe-Lintner-Black(SLB)mod
