The Cross-section of Expected Stock Return 1992翻译（续）

I. Preliminaries

Ⅰ.准备工作

A. Data 数据

We use all nonfinancial firms in the intersection of (a) the NYSE, AMEX, and NASDAQ return files from the Center for Research in Security Prices (CRSP) and (b) the merged COMPUSTAT annual industrial files of incomestatement and balance-sheet data, also maintained by CRSP. We exclude financial firms because the high leverage that is normal for these firms probably does not have the same meaning as for nonfinancial firms, where high leverage more likely indicates distress. The CRSP returns cover NYSE and AMEX stocks until 1973 when NASDAQ returns also come on line. The COMPUSTAT data are for 1962-1989. The 1962 start date reflects the fact that book value of common equity (COMPUSTAT item 60), is not generally available prior to 1962. More important, COMPUSTAT data for earlier years have a serious selection bias; the pre-1962 data are tilted toward big historically successful firms.

本文使用的都是非金融业公司的交易资料：（a）从证券价格研究中心（the Center for Research in Security Prices，CRSP）取得NYSE、AMEX和NASDAQ的回报率资料。（b）由CRSP提供的合并后的COMPUSTAT年度产业资料库中的利润表和资产负债表资料。对金融公司而言高杠杆可能是合理的，但对其他非金融业公司或许并不合理，可能会引发公司破产，因此必须排除金融业的公司。CRSP涵盖NYSE和AMEX股票回报率资料，到1973年再加入NASDAQ股票的回报率，。COMPUSTAT的资料是从1062年到1989年，1962的起始日反映普通股的账面价值（COMPUSTAT item 60），1962年以前的资料一般无法取得。更为重要的是，早年的COMPUSTAT的资料有严重的选择性偏误，1962年以前的资料选择的是历史上规模大并且成功的公司。

To ensure that the accounting variables are known before the returns they are used to explain, we match the accounting data for all fiscal yearends in calendar year t - 1 (1962-1989) with the returns for July of year t to June of t + 1. The 6-month (minimum) gap between fiscal yearend and the return tests is conservative. Earlier work (e.g., Basu (1983)) often assumes that accounting data are available within three months of fiscal yearends. Firms are indeed required to file their 10-K reports with the SEC within 90 days of their fiscal yearends, but on average 19.8% do not comply. In addition, more than 40% of the December fiscal yearend firms that do comply with the 90-day rule file on March 31, and their reports are not made public until April. (See Alford, Jones, and Zmijewski (1992).)

为了确保会计变量的数据能比早于被用来解释的回报率数据更早的被人们知道，本文将日历年t-1（1962-1989）中所有财年年末的会计数据与t年7月至t+1年6月的报表数据进行匹配。财政年度末和回报测试之间的6个月（最小）的间隔时间是保守的。早期的文献（如Basu（1983））通常假设会计数据在财政年度结束后的三个月内即可获得。公司确实被要求在财政年度结束后90天内向SEC提交10-K报告，但平均有19.8%的公司不遵守这一要求。此外，超过40%的公司12月财政年度末在3月31日提交了符合90天规则的文件，但其报告直到4月才公开。（详见Alford、Jones和Zmijewski（1992）。）

We use a firm's market equity at the end of December of year t - 1 to compute its book-to-market, leverage, and earnings-price ratios for t - 1, and we use its market equity for June of year t to measure its size. Thus, to be included in the return tests for July of year t, a firm must have a CRSP stock price for December of year t - 1 and June of year t. It must also have monthly returns for at least 24 of the 60 months preceding July of year t (for "pre-ranking" 3 estimates, discussed below). And the firm must have COMPUSTAT data on total book assets (A), book equity (BE), and earnings (E), for its fiscal year ending in (any month of) calendar year t -1.

本文使用的公司在t-1年12月底的市场权益来计算其t-1的账面与市价之比、杠杆率和市盈率，并使用其在t年6月的市值来衡量其规模。因此，在t年7月的回报率测试中，公司必须有t-1年12月和t年6月的CRSP股价信息。它还必须在t年7月之前的60个月中至少24个月的月回报率（为了估计“逆序排序”，下文将会讨论）。样本公司必须拥有截至t-1年（任意月份）的财年年末的总账面资产（A）、账面权益（BE）和盈余（E）的COMPUSTAT数据。

Our use of December market equity in the E/P, BE/ME, and leverage ratios is objectionable for firms that do not have December fiscal yearends because the accounting variable in the numerator of a ratio is not aligned with the market value in the denominator. Using ME at fiscal yearends is also problematic; then part of the cross-sectional variation of a ratio for a given year is due to market-wide variation in the ratio during the year. For example, if there is a general fall in stock prices during the year, ratios measured early in the year will tend to be lower than ratios measured later. We can report, however, that the use of fiscal-yearend MEs, rather than December MEs, in the accounting ratios has little impact on our retu