Factors in the returns on stocks

factors in the returns on stocks

accurate in predicting stock excess returns than the CAPM. Keywords: asset pricing, cross-section analysis, three- factor model, firm size, book-to-market. We document that average returns to stocks are negatively related to book leverage. This factor in returns is related to the book-to-market factor in earnings. Based on the Fama/French findings, these three risk factors constitute the dimensions of stock returns. To review the average annual returns of. factors in the returns on stocks

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