Characteristics, Covariances, and Average Returns: 1929-1997

Author: James L. Davis, Eugene F. Fama & Kenneth R. French

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 1929-63 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.



Davis, James L. and Fama, Eugene F. and French, Kenneth R., Characteristics, Covariances, and Average Returns: 1929-1997 (February 1999). Center for Research in Security Prices (CRSP) Working Paper No. 471.
Source: http://ssrn.com/abstract=98678

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