Details

Autor(en) / Beteiligte

• Ferson, Wayne E.
• Harvey, Campbell R.

Titel

Conditioning Variables and the Cross Section of Stock Returns

Ist Teil von

• The Journal of finance (New York), 1999-08, Vol.54 (4), p.1325-1360

Ort / Verlag

Boston, USA and Oxford, UK: Blackwell Publishers, Inc

Erscheinungsjahr

1999

Link zum Volltext

Quelle

Wiley Online Library Journals Frontfile Complete

Beschreibungen/Notizen

• Previous studies identify predetermined variables that predict stock and bond returns through time. This paper shows that loadings on the same variables provide significant cross-sectional explanatory power for stock portfolio returns. The loadings are significant given the three factors advocated by Fama and French (1993) and the four factors of Elton, Gruber, and Blake (1995). The explanatory power of the loadings on lagged variables is robust to various portfolio grouping procedures and other considerations. The results carry implications for risk analysis, performance measurement, cost-of-capital calculations, and other applications.