Security Analysis and Portfolio Management, Asset Pricing, Stock Returns, Stock Return Determinants, Factor Equity Investing


Over the last five decades, business academics have identified over three hundred factors that influence stock returns. A newcomer to this field might be overwhelmed by the amount of research and the nature of it - sometimes confusing, even conflicting at times. This paper tries to hand hold a beginner and gently introduce him to the high seas of asset pricing – especially research that focuses on stock returns & potential return determinants. We have tried to cover leading research that will provide a soft landing for the beginner to the field of asset pricing. With this introduction, we hope that the newcomer will find it easier to navigate her/his way confidently to her/his research interest.


Abarbanell, J.S. and Bushee, B.J. (1998). Abnormal returns to a fundamental analysis strategy. Accounting Review, pp.19-45.

Alquist, R., Israel, R. and Moskowitz, T. (2018). Fact, fiction, and the size effect. The Journal of Portfolio Management, 45(1), pp.34-61.

Asness, C., Frazzini, A., Israel, R. and Moskowitz, T. (2014). Fact, fiction, and momentum investing. The Journal of Portfolio Management, 40(5), pp.75-92.

Asness, C., Frazzini, A., Israel, R. and Moskowitz, T. (2015). Fact, fiction, and value investing. The Journal of Portfolio Management, 42(1), pp.34-52.

Asness, C.S., Frazzini, A. and Pedersen, L.H. (2019). Quality minus junk. Review of Accounting Studies, 24(1), pp.34-112.

Asness, C., Frazzini, A., Israel, R., Moskowitz, T.J. and Pedersen, L.H. (2018). Size matters, if you control your junk. Journal of Financial Economics, 129(3), pp.479-509.

Ball, R., Gerakos, J., Linnainmaa, J.T. and Nikolaev, V. (2020). Earnings, retained earnings, and book-to-market in the cross section of expected returns. Journal of Financial Economics, 135(1), pp.231-254.

Banz, R.W. (1981). The relationship between return and market value of common stocks. Journal of financial economics, 9(1), pp.3-18.

Barber, B.M. and Lyon, J.D. (1997). Firm size, book‐to‐market ratio, and security returns: A holdout sample of financial firms. The Journal of Finance, 52(2), pp.875-883.

Barbee Jr, W.C., Mukherji, S. and Raines, G.A. (1996). Do sales–price and debt–equity explain stock returns better than book–market and firm size?. Financial Analysts Journal, 52(2), pp.56-60.

Basu, S. (1977). Investment performance of common stocks in relation to their price‐earnings ratios: A test of the efficient market hypothesis. The journal of Finance, 32(3), pp.663-682.

Basu, S. (1983). The relationship between earnings' yield, market value and return for NYSE common stocks: Further evidence. Journal of financial economics, 12(1), pp.129-156.

Bhandari, L.C. (1988). Debt/equity ratio and expected common stock returns: Empirical evidence. The journal of finance, 43(2), pp.507-528.

Brav, A. and Gompers, P.A. (1997). Myth or reality? The long‐run underperformance of initial public offerings: Evidence from venture and nonventure capital‐backed companies. The journal of finance, 52(5), pp.1791-1821.

Brown, D.P. and Rowe, B. (2007). The productivity premium in equity returns. Available at SSRN 993467.

Chan, K.C. and Chen, N.F. (1988). An unconditional asset‐pricing test and the role of firm size as an instrumental variable for risk. The Journal of Finance, 43(2), pp.309-325.

Chan, K., Chan, L., Jegadeesh, N. and Lakonishok, J. (2006). Earnings quality and stock returns.

Journal of Business 79 (3).

Chan, L.K. and Lakonishok, J. (2004). Value and growth investing: Review and update. Financial Analysts Journal, 60(1), pp.71-86.

Chan, L.K., Hamao, Y. and Lakonishok, J. (1991). Fundamentals and stock returns in Japan. The Journal of finance, 46(5), pp.1739-1764.

Chen, L. and Zhang, L. (2010). A better three-factor model that explains more anomalies. Journal of Finance, 65(2), pp.563-595.

Cochrane, J.H. (2011). Presidential address: Discount rates. The Journal of finance, 66(4), pp.1047-1108.

Cook, T.J. and Rozeff, M.S. (1984). Size and earnings/price ratio anomalies: one effect or two?. Journal of Financial and Quantitative Analysis, 19(4), pp.449-466.

Cooper, M.J., Gulen, H. and Schill, M.J. (2008). Asset growth and the cross‐section of stock returns. the Journal of Finance, 63(4), pp.1609-1651.

Desai, H., Rajgopal, S. and Venkatachalam, M. (2004). Value‐glamour and accruals mispricing: One anomaly or two?. The Accounting Review, 79(2), pp.355-385.

Easton, P.D., Harris, T.S. and Ohlson, J.A. (1992). Aggregate accounting earnings can explain most of security returns: The case of long return intervals. Journal of Accounting and Economics, 15(2-3), pp.119-142.

Fama, E.F. and French, K.R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), pp.427-465.

Fama, E.F. and French, K.R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), pp.3-56.

Fama, E.F. and French, K.R. (1998). Value versus growth: The international evidence. The journal of finance, 53(6), pp.1975-1999.

Foerster, S., Tsagarelis, J. and Wang, G. (2017). Are cash flows better stock return predictors than profits?. Financial Analysts Journal, 73(1), pp.73-99.

Goodman, D.A. and Peavy III, J.W. (1983). Industry relative price-earnings ratios as indicators of investment returns. Financial Analysts Journal, 39(4), pp.60-66.

Handa, P., Kothari, S.P. and Wasley, C. (1989). The relation between the return interval and betas: Implications for the size effect. Journal of Financial Economics, 23(1), pp.79-100.

Harvey, C.R., Liu, Y. and Zhu, H. (2016). … and the cross-section of expected returns. The Review of Financial Studies, 29(1), pp.5-68.

Hsu, J., Kalesnik, V. and Kose, E. (2019). What is quality?. Financial Analysts Journal, 75(2), pp.44-61.

Ibbotson, R.G. and Riepe, M.W. (1997). Growth vs. value investing: And the winner is... Journal of Financial Planning, 10(3), p.64.

Jaffe, J., Keim, D.B. and Westerfield, R. (1989). Earnings yields, market values, and stock returns. The Journal of Finance, 44(1), pp.135-148.

Jegadeesh, N. and Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of finance, 48(1), pp.65-91.

Jegadeesh, N. and Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of finance, 56(2), pp.699-720.

Jegadeesh, N. and Titman, S. (2011). Momentum. Annu. Rev. Financ. Econ., 3(1), pp.493-509.

Lakonishok, J., Shleifer, A. and Vishny, R.W. (1994). Contrarian investment, extrapolation, and risk. The journal of finance, 49(5), pp.1541-1578.

Li, X., Becker, Y. and Rosenfeld, D. (2012). Asset growth and future stock returns: International evidence. Financial Analysts Journal, 68(3), pp.51-62.

Litzenberger, R.H. and Ramaswamy, K. (1982). The effects of dividends on common stock prices tax effects or information effects?. The Journal of Finance, 37(2), pp.429-443.

Loughran, T. and Ritter, J.R. (1995). The new issues puzzle. The Journal of finance, 50(1), pp.23-51.

Lyandres, E., Sun, L. and Zhang, L. (2008). The new issues puzzle: Testing the investment-based explanation. The Review of Financial Studies, 21(6), pp.2825-2855.

Nicholson, S.F. (1968). Price ratios in relation to investment results. Financial Analysts Journal, 24(1), pp.105-109.

Palazzo, B. (2009). Firms' cash holdings and the cross-section of equity returns. Available at SSRN 1339618.

Park, S. (2021). The P/E Ratio, the Business Cycle, and Timing the Stock Market. The Journal of Portfolio Management, 47(8), pp.165-183.

Penman, S. and Reggiani, F. (2018). Fundamentals of value versus growth investing and an explanation for the value trap. Financial Analysts Journal, 74(4), pp.103-119.

Pincus, M., Rajgopal, S. and Venkatachalam, M. (2007). The accrual anomaly: International evidence. The Accounting Review, 82(1), pp.169-203.

Piotroski, J.D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, pp.1-41.

Reinganum, M.R. (1981). Abnormal returns in small firm portfolios. Financial Analysts Journal, 37(2), pp.52-56.

Richardson, S.A., Sloan, R.G., Soliman, M.T. and Tuna, I. (2005). Accrual reliability, earnings persistence and stock prices. Journal of accounting and economics, 39(3), pp.437-485.

Ritter, J.R. (1991). The long‐run performance of initial public offerings. The journal of finance, 46(1), pp.3-27.

Rouwenhorst, K.G. (1998). International momentum strategies. The journal of finance, 53(1), pp.267-284.

Sloan, R.G. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings?. Accounting review, pp.289-315.

Straehl, P.U. and Ibbotson, R.G. (2017). The long-run drivers of stock returns: Total payouts and the real economy. Financial Analysts Journal, 73(3), pp.32-52.

Subrahmanyam, A. (2010). The cross‐section of expected stock returns: what have we learnt from the past twenty‐five years of research?. European Financial Management, 16(1), pp.27-42.

Titman, S., Wei, K.J. and Xie, F. (2004). Capital investments and stock returns. Journal of financial and Quantitative Analysis, 39(4), pp.677-700.

Tripathi, S., & Chaubey, A. (2020). Stock Market Crash: A Comparative Analysis between Sub-Prime Crisis and COVID-19. SSRN.

Trevino, R. and Robertson, F. (2002). P/E ratios and stock market returns. Journal of Financial Planning, 15(2), p.76.

Wei, K.J. and Xie, F. (2008). Accruals, capital investments, and stock returns. Financial Analysts Journal, 64(5), pp.34-44.




How to Cite

Mitragotri, S. (2024). ASSET PRICING RESEARCH FOR BEGINNERS: SURVEY OF PROMINENT RESEARCH ON STOCK RETURNS AND RETURN DETERMINANTS. International Journal of Management, Public Policy and Research, 3(1), 26–35.