The Cross‐Section of Realized Stock Returns: The Pre‐COMPUSTAT Evidence

  • Author(s): JAMES L. DAVIS
  • Published: Apr 30, 2012
  • Pages: 1579-1593
  • DOI: 10.1111/j.1540-6261.1994.tb04773.x


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.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Members' Login


Members' Options

Site Footer

View Mobile Version