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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. Copyright The American Finance Association 2000.
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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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