The Cross-Section of Expected Stock Returns

Abstract

This study examined the cross-section o f expected stock returns in relation to market beta, market capitalization, earning yield, leverage, book-to-market equity, cash flow yield and dividend yield o f non-financial enterprises o f Nepal. Two easily measured variables, viz. - market beta and market capitalization were combined to capture the cross sectional variation in average stock returns associated with earning yield, leverage, book-to-market equity, cash flow yield and dividend yield.