Characteristics, Covariances And Average Returns : 1929 to 1997  

Oleh:

Davis, James L. ; Fama, Eugene F. ; French, Kenneth R.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 1 (2000), page 389-406.
Topik: Covariance structure models; book value; market value; risk; stock prices; studies
Fulltext: p 389.pdf (100.26KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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The value premium in U. S. stock retuns 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 paper. A three - factor risk model explains the value premium better than the hypothesis that the book - to - market characteristic is compensate irrespective of risk loadings.

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