Details about Kenneth French

Access statistics for papers by Kenneth French.

Last updated 2023-10-09. Update your information in the RePEc Author Service.

Short-id: pfr33

Working Papers

1991

1. Investor Diversification and International Equity Markets
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1105)
   See also Journal Article Investor Diversification and International Equity Markets, American Economic Review, American Economic Association (1991) View citations (1104) (1991)

1990

2. ARE JAPANESE STOCK PRICES TOO HIGH?
   Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (10)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1990) View citations (1)
   See also Journal Article Were Japanese stock prices too high?, Journal of Financial Economics, Elsevier (1991) View citations (95) (1991)

1986

3. Common Factors in the Serial Correlation of Stock Returns
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (6)

1982

4. Sunk Costs and Competitive Bidding
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA

Undated

5. Characteristics, Covariances, and Average Returns: 1929 to 1997
   CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (32)
   Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (10)
   See also Journal Article Characteristics, Covariances, and Average Returns: 1929 to 1997, Journal of Finance, American Finance Association (2000) View citations (282) (2000)
6. Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?."
   CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (9)
   See also Journal Article DISAPPEARING DIVIDENDS: CHANGING FIRM CHARACTERISTICS OR LOWER PROPENSITY TO PAY?, Journal of Applied Corporate Finance, Morgan Stanley (2001) View citations (1007) (2001)
7. Forecasting Profitability and Earnings
   CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (46)
   Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (46)
   See also Journal Article Forecasting Profitability and Earnings, The Journal of Business, University of Chicago Press (2000) View citations (226) (2000)
8. Newly Listed Firms: Fundamentals, Survival Rates, and Returns
   CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
9. Taxes, Financing Decisions, and Firm Value
   CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
10. Testing Tradeoff and Pecking Order Predictions about Dividends and Debt.”
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (4)
11. The Corporate Cost of Capital and the Return on Corporate Investment
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
    See also Journal Article The Corporate Cost of Capital and the Return on Corporate Investment, Journal of Finance, American Finance Association (1999) View citations (34) (1999)
12. The Equity Premium."
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (8)
    See also Journal Article The Equity Premium, Journal of Finance, American Finance Association (2002) View citations (238) (2002)
13. Value Versus Growth: The International Evidence
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago

Journal Articles

2021

1. The Value Premium
   (Fundamentals and stock returns in Japan)
   The Review of Asset Pricing Studies, 2021, 11, (1), 105-121 View citations (6)

2020

2. Comparing Cross-Section and Time-Series Factor Models
   The Review of Financial Studies, 2020, 33, (5), 1891-1926 View citations (30)

2018

3. Choosing factors
   Journal of Financial Economics, 2018, 128, (2), 234-252 View citations (1)

2017

4. International tests of a five-factor asset pricing model
   Journal of Financial Economics, 2017, 123, (3), 441-463 View citations (248)

2016

5. Dissecting Anomalies with a Five-Factor Model
   The Review of Financial Studies, 2016, 29, (1), 69-103 View citations (234)

2015

6. A five-factor asset pricing model
   Journal of Financial Economics, 2015, 116, (1), 1-22 View citations (2042)
7. Incremental variables and the investment opportunity set
   Journal of Financial Economics, 2015, 117, (3), 470-488 View citations (23)

2013

8. Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group
   Journal of Applied Corporate Finance, 2013, 25, (4), 37-40 View citations (6)

2012

9. Capital Structure Choices
   Critical Finance Review, 2012, 1, (1), 59-101 View citations (19)
10. Size, value, and momentum in international stock returns
    Journal of Financial Economics, 2012, 105, (3), 457-472 View citations (600)

2010

11. Luck versus Skill in the Cross‐Section of Mutual Fund Returns
    Journal of Finance, 2010, 65, (5), 1915-1947 View citations (411)
12. The Squam Lake Report: Fixing the Financial System
    Journal of Applied Corporate Finance, 2010, 22, (3), 8-21 View citations (120)
    See also Book The Squam Lake Report: Fixing the Financial System, Economics Books, 2010 (2010) View citations (110) (2010)

2008

13. Average Returns, B/M, and Share Issues
    Journal of Finance, 2008, 63, (6), 2971-2995 View citations (42)
14. Dissecting Anomalies
    Journal of Finance, 2008, 63, (4), 1653-1678 View citations (556)
15. Presidential Address: The Cost of Active Investing
    Journal of Finance, 2008, 63, (4), 1537-1573 View citations (278)

2007

16. Disagreement, tastes, and asset prices
    Journal of Financial Economics, 2007, 83, (3), 667-689 View citations (189)
17. O modelo de precificação de ativos de capital: teoria e evidências
    RAE - Revista de Administração de Empresas, 2007, 47, (2)

2006

18. Profitability, investment and average returns
    Journal of Financial Economics, 2006, 82, (3), 491-518 View citations (260)
19. The Value Premium and the CAPM
    Journal of Finance, 2006, 61, (5), 2163-2185 View citations (165)

2005

20. Financing decisions: who issues stock?
    Journal of Financial Economics, 2005, 76, (3), 549-582 View citations (259)

2004

21. New lists: Fundamentals and survival rates
    Journal of Financial Economics, 2004, 73, (2), 229-269 View citations (204)
22. The Capital Asset Pricing Model: Theory and Evidence
    Journal of Economic Perspectives, 2004, 18, (3), 25-46 View citations (467)

2002

23. The Equity Premium
    Journal of Finance, 2002, 57, (2), 637-659 View citations (238)
    See also Working Paper The Equity Premium.", CRSP working papers View citations (8)

2001

24. DISAPPEARING DIVIDENDS: CHANGING FIRM CHARACTERISTICS OR LOWER PROPENSITY TO PAY?
    Journal of Applied Corporate Finance, 2001, 14, (1), 67-79 View citations (1007)
    Also in Journal of Financial Economics, 2001, 60, (1), 3-43 (2001) View citations (956)
    See also Working Paper Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?.", CRSP working papers View citations (9)

2000

25. Characteristics, Covariances, and Average Returns: 1929 to 1997
    Journal of Finance, 2000, 55, (1), 389-406 View citations (282)
    See also Working Paper Characteristics, Covariances, and Average Returns: 1929 to 1997, CRSP working papers View citations (32)
26. Forecasting Profitability and Earnings
    The Journal of Business, 2000, 73, (2), 161-75 View citations (226)
    See also Working Paper Forecasting Profitability and Earnings, CRSP working papers View citations (46)

1999

27. The Corporate Cost of Capital and the Return on Corporate Investment
    Journal of Finance, 1999, 54, (6), 1939-1967 View citations (34)
    See also Working Paper The Corporate Cost of Capital and the Return on Corporate Investment, CRSP working papers

1997

28. Industry costs of equity
    Journal of Financial Economics, 1997, 43, (2), 153-193 View citations (1800)

1996

29. Multifactor Explanations of Asset Pricing Anomalies
    Journal of Finance, 1996, 51, (1), 55-84 View citations (2026)
30. The CAPM Is Wanted, Dead or Alive
    Journal of Finance, 1996, 51, (5), 1947-58 View citations (98)

1995

31. Size and Book-to-Market Factors in Earnings and Returns
    Journal of Finance, 1995, 50, (1), 131-55 View citations (945)

1993

32. Common risk factors in the returns on stocks and bonds
    Journal of Financial Economics, 1993, 33, (1), 3-56 View citations (8815)

1992

33. The Cross-Section of Expected Stock Returns
    Journal of Finance, 1992, 47, (2), 427-65 View citations (4482)

1991

34. Investor Diversification and International Equity Markets
    American Economic Review, 1991, 81, (2), 222-26 View citations (1104)
    See also Working Paper Investor Diversification and International Equity Markets, NBER Working Papers (1991) View citations (1105) (1991)
35. Trading mechanisms and value-discovery: Cross-national evidence and policy implications: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1991, 34, (1), 131-134 View citations (1)
36. Were Japanese stock prices too high?
    Journal of Financial Economics, 1991, 29, (2), 337-363 View citations (95)
    See also Working Paper ARE JAPANESE STOCK PRICES TOO HIGH?, Working papers (1990) View citations (10) (1990)

1990

37. Japanese and U.S. cross-border common stock investments
    Journal of the Japanese and International Economies, 1990, 4, (4), 476-493 View citations (21)

1989

38. Business conditions and expected returns on stocks and bonds
    Journal of Financial Economics, 1989, 25, (1), 23-49 View citations (1592)
39. PRICING FINANCIAL FUTURES CONTRACTS: AN INTRODUCTION
    Journal of Applied Corporate Finance, 1989, 1, (4), 59-66

1988

40. Dividend yields and expected stock returns
    Journal of Financial Economics, 1988, 22, (1), 3-25 View citations (1375)
41. Permanent and Temporary Components of Stock Prices
    Journal of Political Economy, 1988, 96, (2), 246-73 View citations (927)

1987

42. Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage
    The Journal of Business, 1987, 60, (1), 55-73 View citations (455)
    See also Chapter Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage, World Scientific Book Chapters, 2015, 79-102 (2015) (2015)
43. Expected stock returns and volatility
    Journal of Financial Economics, 1987, 19, (1), 3-29 View citations (1657)

1986

44. Detecting Spot Price Forecasts in Futures Prices
    The Journal of Business, 1986, 59, (2), S39-54 View citations (50)
45. Stock return variances: The arrival of information and the reaction of traders
    Journal of Financial Economics, 1986, 17, (1), 5-26 View citations (663)

1984

46. Anomalies in Security Returns and the Specification of the Market Model: Discussion
    Journal of Finance, 1984, 39, (3), 815-17
47. Sealed Bids, Sunk Costs, and the Process of Competition
    The Journal of Business, 1984, 57, (4), 417-41 View citations (62)

1983

48. A comparison of futures and forward prices
    Journal of Financial Economics, 1983, 12, (3), 311-342 View citations (34)
49. Effects of Nominal Contracting on Stock Returns
    Journal of Political Economy, 1983, 91, (1), 70-96 View citations (36)
50. Taxes and the Pricing of Stock Index Futures
    Journal of Finance, 1983, 38, (3), 675-94 View citations (61)
51. The pricing of stock index futures
    Journal of Futures Markets, 1983, 3, (1), 1-14 View citations (26)

1980

52. Stock returns and the weekend effect
    Journal of Financial Economics, 1980, 8, (1), 55-69 View citations (552)

Books

2010

1. The Squam Lake Report: Fixing the Financial System
   Economics Books, Princeton University Press View citations (110)
   See also Journal Article The Squam Lake Report: Fixing the Financial System, Journal of Applied Corporate Finance, Morgan Stanley (2010) View citations (120) (2010)

Chapters

2015

1. Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage
   Chapter 4 in THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, 2015, pp 79-102
   See also Journal Article Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage, University of Chicago Press (1987) View citations (455) (1987)

2010

2. Introduction
   A chapter in The Squam Lake Report: Fixing the Financial System, 2010

1988

3. Crash-Testing the Efficient Market Hypothesis
   A chapter in NBER Macroeconomics Annual 1988, Volume 3, 1988, pp 277-286 View citations (6)