Characteristics, Covariances, and Average Returns: 1929 to 1997
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. Copyright The American Finance Association 2000.
Volume (Year): 55 (2000)
Issue (Month): 1 (02)
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