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The Cross‐Section of Realized Stock Returns: The Pre‐COMPUSTAT Evidence
Author(s) -
DAVIS JAMES L.
Publication year - 1994
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1994.tb04773.x
Subject(s) - explanatory power , equity (law) , stock (firearms) , economics , cash flow , yield (engineering) , financial economics , earnings , econometrics , business , accounting , geography , political science , philosophy , materials science , archaeology , epistemology , law , metallurgy
Using a database that is free of survivorship bias, this article finds that book‐to‐market equity, earnings yield, and cash flow yield have significant explanatory power with respect to the cross‐section of realized stock returns during the period from July 1940 through June 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample.