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Characteristics, Covariances, and Average Returns: 1929 to 1997

✍ Scribed by James L. Davis, Eugene F. Fama and Kenneth R. French

Book ID
123709275
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
388 KB
Volume
55
Category
Article
ISSN
0022-1082

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Characteristics, Covariances, and Averag
Characteristics, Covariances, and Average Returns: 1929 to 1997
✍ James L. Davis; Eugene F. Fama; Kenneth R. French πŸ“‚ Article πŸ“… 2000 πŸ› John Wiley and Sons 🌐 English βš– 103 KB

The value premium in U.S. stock returns is robust. The positive relation between average return and book‐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 bo