Characteristics, Covariances, and Average Returns: 1929 to 1997

James L. Davis, Eugene F. Fama () and Kenneth French ()
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James L. Davis: Kansas State University,

Journal of Finance, 2000, vol. 55, issue 1, pages 389-406

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.

Date: 2000

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