The Cross Section of Expected Stock Returns

By J. Lewellen. 2014

6,403 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Strategy and Management, Economics & Operations Research

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Citations in the corpus

Deep Learning in Finance (2016, background): “For areas of ﬁnance applications, see Fama and French (1992, 2008), Engle (1982), Campbell, Lo, and MacKinley (1997), Singleton (2006), and Daniel and Titman (2006).”
Sufficient Forecasting Using Factor Models (2015, methodology): “For example, Forni et al. (2000, 2015) studied factor estimation based on projection, Liu et al. (2012), Xue and Zou (2012) and Fan et al.”
Textual Sentiment in Finance: A Survey of Methods and Models (2014, neutral): “(2008) and Demers and Vega (2011) follow Fama and French (1992) in constructing the book-to-market and size-sorted portfolios.”
Leverage Aversion and Risk Parity (2012, neutral): “This evidence complements the extensive literature that has empirically documented violations of the CAPM (see Fama and French 1992; Gibbons 1982; Kandel 1984; Karceski 2002; Shanken 1985).”
Extreme Downside Risk and Expected Stock Returns (2012, neutral): “14 We estimate beta following the method in Fama and French (1992).”
Currency Momentum Strategies (2012, neutral): “Also, momentum returns in FX markets are not systematically related to standard proxies for business cycle risk, liquidity risk (Brunnermeier, Nagel, and Pedersen, 2009), the carry trade risk factor proposed by Lustig, Roussanov, and Verdelhan (2011), volatility risk (Menkhoff, Sarno, Schmeling, and”
Value versus growth investing: Why do different investors have different styles? (2015, neutral): “…debated issues in the past several decades is the differential returns of investments in value versus growth stock portfolios – the value premium debate (e.g., De Bondt and Thaler (1985), Fama and French (1992, 1993, 1996), Lakonishok, Shleifer, and Vishny (1994), and Daniel and Titman (1997)).”
What Is the Expected Return on a Stock? (2019, neutral): “Nonetheless, we would like to know whether there is return-relevant information in other ﬁrm characteristics—notably, CAPM beta, (log) size, book-to-market, and past returns—that is not captured by our predictor variables (see, e.g., Fama and French (1993), Carhart (1997), Lewellen (2015)).”
Corporate Life Cycle and Cost of Equity Capital (2015, neutral): “Growth opportunity is characterized by uncertainty and risk and, therefore, is expected to be positively associated with the cost of equity capital (Boone et al., 2008; Chan et al., 1991; Fama and French, 1992; Khurana and Raman, 2004).”
The valuation relevance of environmental performance revisited: The moderating role of environmental provisions (2017, background): “…& Qin, 2015), such as SIZE for size effects, LEV for leverage, TOBINQ for growth opportunities (Dhaliwal, Li, Tsang, & Yang, 2011), BM for risk (Fama & French, 1992), ROE for profitability, ETS for participation to an emissions-trading scheme (Luo, Lan, & Tang, 2012) and SUSTREP for…”
Estimation and Selection of Spatial Weight Matrix in a Spatial Lag Model (2019, background): “Fama and French (1992, 1993, 1996) proposed a benchmark stock return model which include factors to capture movements in market risk.”
Value investing in credit markets (2012, positive): “We rely on previous equity asset pricing research and combine a set of changes in macro-economic state variables (see Chen et al. 1986) and standard factor-mimicking portfolio returns (see Fama and French 1992, 1993).”
Systematic Risk and the Cross-Section of Hedge Fund Returns (2012, positive): “To address the nonsynchroneity induced by return smoothing we follow Scholes and Williams (1977), Dimson (1979), and Fama and French (1992), and extend the 6-factor model further by including the current, one-month lagged, and one-month lead factors on the right hand side of Eq.”
A Lottery Demand-Based Explanation of the Beta Anomaly (2017, neutral): “To examine the possibility that the size and/or value effects of Fama and French (1992) play a role in the betting against beta phenomenon, we define MKTCAP as the stock’s market capitalization and BM as the log of the firm’s book-to-market ratio.5 As the cross-sectional distribution of market…”
Firm Financing over the Business Cycle (2018, background): “Since Fama and French (1992) sorting rms into size portfolios has become a standard way to abstract from idiosyncratic, rm-level variation.”
Monetary Policy Through Production Networks: Evidence from the Stock Market (2017, neutral): “Robustness Returns in the cross section may vary because of exposures to risk factors such as the size and value factors of Fama and French (1992). If the position in the production network is correlated with exposures to these sources of risk, we might partially attribute these risk exposures to hi”