Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

Characteristics, Covariances, and Average Returns: 1929 to 1997

James L. Davis, Eugene F. Fama and Kenneth R. French
The Journal of Finance
Vol. 55, No. 1 (Feb., 2000), pp. 389-406
Published by: Wiley for the American Finance Association
Stable URL: http://www.jstor.org/stable/222559
Page Count: 18
  • Get Access
  • Read Online (Free)
  • Download ($33.95)
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
Characteristics, Covariances, and Average Returns: 1929 to 1997
Preview not available

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.

Page Thumbnails

  • Thumbnail: Page 
389
    389
  • Thumbnail: Page 
390
    390
  • Thumbnail: Page 
391
    391
  • Thumbnail: Page 
392
    392
  • Thumbnail: Page 
393
    393
  • Thumbnail: Page 
394
    394
  • Thumbnail: Page 
395
    395
  • Thumbnail: Page 
396
    396
  • Thumbnail: Page 
397
    397
  • Thumbnail: Page 
398
    398
  • Thumbnail: Page 
399
    399
  • Thumbnail: Page 
400
    400
  • Thumbnail: Page 
401
    401
  • Thumbnail: Page 
402
    402
  • Thumbnail: Page 
403
    403
  • Thumbnail: Page 
404
    404
  • Thumbnail: Page 
405
    405
  • Thumbnail: Page 
406
    406