FRIC/ Finance Seminar with Juhani Linnainmaa, The University of Chicago Booth School of Business
FRIC Center for Financial Frictions and the Department of Finance are proud to announce the upcoming seminar with Juhani Linnainmaa, The University of Chicago Booth School of Business.
Juhani Linnainmaa will present
The History of the Cross Section of Stock Returns
Juhani T. Linnainmaa, University of Chicago Booth School of Business
Michael Roberts, The Wharton School
How persistent are anomalies such as profitability and distress in the cross section of stock returns? We hand-collect accounting data for all NYSE firms going back to the 1910s and measure the existence and persistence of a wide range of anomalies in this new historical sample. The premiums on the profitability and investment factors are close to zero between 1926 and 1963. The profitability premium emerges around 1980, a date which coincides with a structural break in investors’ willingness to hold unprofitable firms (Fama and French 2001). At the same time, many other anomalies, such as those associated with low market betas, net share issuances, and distress, exist both before and after 1963.