2026-09-19T22:47:11Z https://www.ideals.illinois.edu/oai-pmh

oai:www.ideals.illinois.edu:2142/85529 2023-07-11 col_2142_5131 col_2142_14830 com_2142_5130 com_2142_14829 com_2142_8903

Koenker, Roger W. Amidon, Carole Marie 2015-09-25T22:47:15Z 2015-09-25T22:47:15Z 10000-01-01 2003 2003 The purpose of the study of the cross-section of U.S. stock returns is to examine how the relationship between returns and a conventional measure of risk differs across the conditional distribution of returns. The conditional quartile functions show that the relationship is not constant across the conditional distribution implying that the independent variables have differential effects on the stock return given the quartile examined. The relationship between stock returns and size (market equity) and book-to-market value is not constant across the conditional distribution of returns. The size effect has its usual sign, negative, for the largest returns, but is positive for the median and smallest returns. Book-to-market value has an inconsistent relationship with the return on stocks depending on the other included independent variables. There is some evidence, however, that the large returns are positively related to book-to-market value while the median and small returns have no relationship. Made available in DSpace on 2015-09-25T22:47:15Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 3086004.pdf: 7053332 bytes, checksum: e71e359ba86596dc7b21a3dfc0973e8e (MD5) Previous issue date: 2003 Embargo set by: Seth Robbins for item 86810 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs U of I Only 141 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2003. http://hdl.handle.net/2142/85529 (MiAaPQ)AAI3086004 eng Economics, Labor Robust Estimation of the Cross-Sections of United States Wages and Stock Returns text Economics Economics University of Illinois at Urbana-Champaign Dissertation Ph.D.