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Characteristics, Covariances, and Average Returns: 1929-1997

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

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Paper provided by Center for Research in Security Prices, Graduate School of Business, University of Chicago in its series CRSP working papers with number 471.

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Handle: RePEc:wop:chispw:471

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Cited by:
  1. John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2005. "In Searach of Distress Risk," Harvard Institute of Economic Research Working Papers 2081, Harvard - Institute of Economic Research.
  2. Xiaoji Lin & Lu Zhang, 2011. "Covariances versus Characteristics in General Equilibrium," NBER Working Papers 17285, National Bureau of Economic Research, Inc.
  3. Petkova, Ralitsa & Zhang, Lu, 2005. "Is value riskier than growth?," Journal of Financial Economics, Elsevier, Elsevier, vol. 78(1), pages 187-202, October.
  4. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Bad Beta, Good Beta," American Economic Review, American Economic Association, American Economic Association, vol. 94(5), pages 1249-1275, December.
  5. Xu Li, 2011. "Behavioral theories and the pricing of IPOs’ discretionary current accruals," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 37(1), pages 87-104, July.
  6. Nielsen, Caren Yinxia Guo, 2011. "Is Default Risk Priced in Equity Returns?," Working Papers, Lund University, Department of Economics 2011:38, Lund University, Department of Economics.
  7. Pavel Bandarchuk & Jens Hilscher, 2013. "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Review of Finance, European Finance Association, European Finance Association, vol. 17(2), pages 809-845.
  8. Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007. "Durability of Output and Expected Stock Returns," 2007 Meeting Papers, Society for Economic Dynamics 432, Society for Economic Dynamics.
  9. Thomas Wu & Jordi Mondria, 2011. "Asymmetric Attention and Stock Returns," 2011 Meeting Papers 134, Society for Economic Dynamics.
  10. Gebhardt, William R. & Hvidkjaer, Soeren & Swaminathan, Bhaskaran, 2005. "The cross-section of expected corporate bond returns: Betas or characteristics?," Journal of Financial Economics, Elsevier, Elsevier, vol. 75(1), pages 85-114, January.
  11. Wallmeier, Martin & Tauscher, Kathrin, 2012. "A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model," FSES Working Papers 433, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.

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