The Cross Section of Expected Stock Returns

Author: Eugene Fama & Kenneth French

Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market β, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in β that is unrelated to size, the relation between market β and average return is flat, even when β is the only explanatory variable...

The Journal of Finance, Volume 47, Issue 2 (Jun., 1992), 427-465

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