Souad AJILI - CEREG - UniversitÃ© Paris-Dauphine

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The Cross-Section Returns in France: Characteristics or Covariances Model as the Premier Model of Financial Markets.’ Journal of Finance, (2): pp. 551–71. Sharpe, W. (1964). ‘Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk.’ The Journal of Finance, XIX (3): pp. 425–42. 27
Page 1 and 2: June 2003 Explaining the Cross-Sect
Page 3 and 4: Introduction The Capital Asset Pric
Page 5 and 6: R i − R f = α i + ß i (R M −
Page 7 and 8: start with 428 stocks: 157 stocks o
Page 9 and 10: the capitalization 10 of June of ye
Page 11 and 12: Table 4. Descriptive statistics for
Page 13 and 14: Table 5. Summary statistics for the
Page 15 and 16: Table 6. Regressions of monthly exc
Page 17 and 18: ook to market and large stocks (HB)
Page 19 and 20: The results reported in tables 7 an
Page 21 and 22: 4. Size, Book to Market and other F
Page 23 and 24: Table 12. Regressions for portfolio
Page 25 and 26: 6. Appendix 0.3 0.2 Monthly Excess
Page 27: and bonds.’ Journal of Financial

Souad AJILI - CEREG - UniversitÃ© Paris-Dauphine

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