Commonality in the determinants of expected stock returns

被引:416
作者
Haugen, RA [1 ]
Baker, NL [1 ]
机构
[1] GRANTHAM MAYO VAN OTTERLOO,BOSTON,MA 02110
关键词
market efficiency; cross-sectional prediction; international;
D O I
10.1016/0304-405X(95)00868-F
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We find that the determinants of the cross-section of expected stock returns are stable in their identity and influence from period to period and from country to country. Out-of-sample predictions of expected return are strongly and consistently accurate. Two findings distinguish this paper from others in the contemporary literature: First, stocks with higher expected and realized rates of return are unambiguously lower in risk than stocks with lower returns. Second, the important determinants of expected stock returns are strikingly common to the major equity markets of the world. Overall, the results seem to reveal a major failure in the Efficient Markets Hypothesis.
引用
收藏
页码:401 / 439
页数:39
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