The Cross-Section of Expected Stock Returns 439 Table ill Average Slopes(t-Statistics)from Month-by-Month Regr of Stock Returns on B, Size, Book-to-Market Equity, Leverage, and E/P: July 1963 to December 1990 Stocks are assigned the post-ranking a of the sizeB portfolio they are in at the end of June of year t(Table I) BE is the book value of common equity plus balance-sheet deferred taxes, a is total book assets, and E is earnings(income before extraordinary items, plus income-statement deferred taxes, minus preferred dividends). BE, A, and E are for each firm's latest fiscal year ending in calendar year t-1. The accounting ratios are measured using market equity ME in December of year t-1. Firm size In(ME)is measured in June of year t In the regressions, these values of the explanatory variables for individual stocks are matched with CRSP returns for the months from July of year t to June of year t+ 1. The gap between the accounting data and the eturns ensures that the accounting data are available prior to the returns. If earnings are positive, E(+)/P is the ratio of total earnings to market equity and E/P dummy is 0. If earnings are negative, E(+)/P is 0 and e/p dummy is I The average slope is the time- series average of the monthly regression slopes for July 1963 to December 1990, and the t-statistic is the average slope divided by its time- series standard error On average, there are 2267 stocks in the monthly regressions. To avoid giving extreme observations heavy weight in the regressions, the smallest and largest 0.5% of the observations ratios (the 0.005 and 0.995 fractiles). This has no effect on inferences B In(ME) In(BE/ME) In(A/ME) In(A/BE) Dummy E( 0.15 (046) 0.17 (-121)(-341) 0.50 0.57 (4.57) ( (1.23) 0.13 (-247) (-056(1.57)