TY  - JOUR
AU  - Daniel,Kent
AU  - Titman,Sheridan
TI  - Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5604
PY  - 1996
Y2  - June 1996
UR  - http://www.nber.org/papers/w5604
L1  - http://www.nber.org/papers/w5604.pdf
N1  - Author contact info:
Kent D. Daniel
Columbia Business School
3022 Broadway, Uris Hall 709
New York, NY 10027
Tel: 212-854-4579
E-Mail: kd2371@columbia.edu

Sheridan Titman
Finance Department
McCombs School of Business
University of Texas at Austin
Austin, TX 78712-1179
Tel: 512/232-2787
Fax: 512/471-5073
E-Mail: titman@mail.utexas.edu
AB  - Firm size and book-to-market ratios are both highly correlated with the returns of common stocks.  Fama and French (1993) have argued that the association between these firm characteristics and their stock returns arises because size and book-to-market ratios are proxies for non-diversifiable factor risk.  In contrast, the evidence in this paper indicates that the return premia on small capitalization and high book-to-market stocks does not arise because of the co-movements of these stocks with pervasive factors.  It is the firm characteristics and not the covariance structure of returns that explain the cross-sectional variation in stock returns.
ER  -