Research and publications
The Cross-Section of Expected Stock Returns at the Paris Stock Exchange
This study reconsiders the subject of describing the expected return of French stocks through different variables: the beta coefficient drawn from the CAPM, the market capitalisation and book-to-price ratio and the si and hi sensitivities to the SMB and HML return premiums taken from Fama and French's three-factor model.
Author(s):
Eric Molay
Summary:
This study reconsiders the subject of describing the expected return of French stocks through different variables: the beta coefficient drawn from the CAPM, the market capitalisation and book-to-price ratio and the si and hi sensitivities to the SMB and HML return premiums taken from Fama and French's three-factor model.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 23/02/2002 |
| Keywords : |
Risk |
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