Characteristics, covariances, and average returns: 1929 to 1997

• 成果类型: Article
• 署名作者: Davis, JL; Fama, EF; French, KR
• 署名单位: Kansas State University; University of Chicago; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00209
• 发表日期: 2000
• 页码: 389-406
• 关键词: BOOK-TO-MARKET; stock returns; cross-section; RISK; equilibrium; seasonality; EFFICIENCY; portfolio; size

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.