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Characteristics, Covariances, and Average Returns: 1929 to 1997

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  • JAMES L. DAVIS
  • EUGENE F. FAMA
  • KENNETH R. FRENCH

Abstract

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 book‐to‐market characteristic is compensated irrespective of risk loadings.
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Suggested Citation

  • James L. Davis & Eugene F. Fama & Kenneth R. French, "undated". "Characteristics, Covariances, and Average Returns: 1929 to 1997," CRSP working papers 359, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    • Handle: RePEc:wop:chispw:359
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