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...