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In: Business and Management

Submitted By asbnfoabs
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1. Title: Conditioning Variables and the Cross Section of Stock Returns 2. Journal: The Journal of Finance, Vol. 54, No. 4, Papers and Proceedings, Fifty-Ninth Annual Meeting, American Finance Association, New York 3. Author Name: Wayne E. Ferson and Campbell R. Harvey 4. Year of publication: August 1999 5. Objective/Purpose/Issue: This paper shows that loadings on the same variables provide significant cross-sectional explanatory power for stock portfolio returns 6. Hypothesis: Null Hypothesis the FF three-factor model identifies the relevant risk in a linear return-generating process: ri,t+1 = Et(ri,t+1) + Bit{rp,t+1 - Et(rp,t+1)} + Ei,t+1,
Et(ei,t+1) = 0,
Et(ei,t+1rp,t+1) = 0 7. Variables (1) the difference between the one-month lagged returns of a three-month and a one-month Treasury bill (2) the dividend yield of the Standard and Poors 500 (S&P 500) index (3) the spread between Moody's Baa and Aaa corporate bond yields (4) the spread between a ten-year and a one-year Treasury bond yield

8. Measurement of Variables:
Returns on 25 value-weighted portfolios formed on size (as of June of the preceding year) and the ratio of book value to market value (as of the previous December) are summarized. Returns are measured in excess of a one-month Treasury bill return. S1 refers to the lowest 20 percent of market capitalization, S5 is the largest 20 percent, B1 refers to the lowest 20 percent of the book/market ratios, and B5 is the largest 20 percent. Market is the return on the value-weighted portfolio of all COMPUSTAT stocks used in forming the portfolios. HML is a high book/market less a low book/market return and SMB is a small firm return less a large firm return, as described in the text. The sample period is July 1963 through December 1994, which provides 378 observations. The sample means are annualized by…...

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