The cross-section of expected stock returns.¶
FAMA, E. F., & FRENCH, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465.
Cited by¶
2 citations across 2 artifacts.
Each citation links to the sentence it supports in the citing article.
Primes¶
- Efficient Market Hypothesis (EMH)
- Fama and French's (1992) three-factor extension of the CAPM (size and value alongside the market factor) made this risk-adjustment step concrete and shows how the choice of model directly governs which residuals count as anomalies.
This sourceDocuments size and book-to-market premiums beyond market beta, motivating multi-factor risk models.
Supported in partVerified against the work's full text
Fama and French (1992) document size and book-to-market effects beyond market beta, but present no formal three-factor model and do not discuss anomaly classification.
“Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns”
- Fama and French's (1992) three-factor extension of the CAPM (size and value alongside the market factor) made this risk-adjustment step concrete and shows how the choice of model directly governs which residuals count as anomalies.
- Risk–Return Tradeoff
- Sharpe's Nobel Prize 1990), and the subsequent multi-factor asset-pricing literature (Fama-French
This sourceDocuments CAPM anomalies including value and size premiums; motivates multi-factor model extensions; establishes empirical basis for factor-zoo development.
Supported in partVerified against the work's full text
This is the 1992 Fama-French empirical paper showing size and book-to-market beat beta; it is a precursor to, not an exposition of, the multi-factor model literature.
“consistent with the multifactor asset-pricing models of Merton (1973) and Ross (1976)”
- Sharpe's Nobel Prize 1990), and the subsequent multi-factor asset-pricing literature (Fama-French
Verification¶
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