The Cross-Section of Expected Stock Returns

EUGENE F. FAMA,

KENNETH R. FRENCH

JF Volume 47, Issue 2

June 1992 

Pages 427–465

控制了Size和Market-to-Book Ratio, β 就没什么解释力了。

Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market β, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in β that is unrelated to size, the relation between market β and average return is flat, even when β is the only explanatory variable.