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Characteristics, Covariances, and Average Returns: 1929 to 1997

Davis, James L.; Fama, Eugene F.; French, Kenneth R. - In: Journal of Finance 55 (2000) 1, pp. 389-406

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...

Persistent link: https://www.econbiz.de/10005214776

Characteristics, covariances, and average returns : 1929 to 1997

Davis, James L.; Fama, Eugene F.; French, Kenneth Ronald - In: The journal of finance : the journal of the American … 55 (2000) 1, pp. 389-406

Persistent link: https://www.econbiz.de/10001496999

SHORTER PAPERS - Characteristics, Covariances, and Average Returns: 1929 to 1997

Davis, James L.; Fama, Eugene F.; French, Kenneth R. - In: The journal of finance : the journal of the American … 55 (2000) 1, pp. 389-406

Persistent link: https://www.econbiz.de/10006571128

SHORTER PAPERS - Characteristics, Covariances, and Average Returns: 1929 to 1997

Davis, James L.; Fama, Eugene F.; French, Kenneth R. - In: The journal of finance : the journal of the American … 55 (2000) 1, pp. 389-406

Persistent link: https://www.econbiz.de/10006571148

Characteristics, Covariances, and Average Returns : 1929-1997

Davis, James L. - 2001

The value premium in U.S. stocks returns is robust. The positive relation between average return and book-to-market equity (BE/ME) is as strong for 1929-63 as for the subsequent period studied in previous papers. Like others, we also find a size premium in stock returns. Small stocks have higher...

Persistent link: https://www.econbiz.de/10012743055

Characteristics, Covariances, and Average Returns : 1929-1997

Davis, James L. - 2001

Persistent link: https://www.econbiz.de/10012788125