Characteristics, covariances, and average returns: 1929 to 1997

被引：402

作者：

Davis, JL ^{[1
]}

Fama, EF

French, KR

机构：

[1] Kansas State Univ, Manhattan, KS 66506 USA

[2] Univ Chicago, Chicago, IL 60637 USA

[3] MIT, Cambridge, MA 02139 USA

来源：

JOURNAL OF FINANCE | 2000年 / 55卷 / 01期

关键词：

D O I：

10.1111/0022-1082.00209

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The Value premium in U.S. stock returns is robust. The positive relation between average return and beak-to-market equity is as strong for 1929 to 1963 as for the subsequent period studied in previous papers. A three-factor risk model explains the value premium better than the hypothesis that the book-to-market characteristic is compensated irrespective of risk loadings.

引用

收藏

页码：389 / 406

页数：18

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