Abstract

http://ssrn.com/abstract=7365
 
 

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Multifactor Explanations of Asset Pricing Anomalies


Eugene F. Fama


University of Chicago - Finance

Kenneth R. French


Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER)


J. OF FINANCE, Vol. 51 No. 1, March 1996

Abstract:     
Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cashflow/price, book-to-market equity, past sales growth, long-term past return, and short term past return. Because these patterns in average returns apparently are not explained by the CAPM, they are called anomalies. We find that, except for the continuation of short-term returns, the anomalies largely disappear in a three-factor model. Our results are consistent with rational ICAPM or APT asset pricing, but we also consider irrational pricing and data problems as possible explanations.

JEL Classification: G12

Accepted Paper Series


Not Available For Download

Date posted: June 28, 1998  

Suggested Citation

Fama, Eugene F. and French, Kenneth R., Multifactor Explanations of Asset Pricing Anomalies. J. OF FINANCE, Vol. 51 No. 1, March 1996. Available at SSRN: http://ssrn.com/abstract=7365

Contact Information

Eugene F. Fama (Contact Author)
University of Chicago - Finance ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-7282 (Phone)
773-702-9937 (Fax)
Kenneth R. French
Dartmouth College - Tuck School of Business ( email )
Hanover, NH 03755
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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