Eugene F. Fama

University of Chicago - Finance

Kenneth R. French

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

Financial Analysts Journal, Vol. 63, No. 3, pp. 48-58, 2007

Migration of stocks across size and value portfolios contributes to the size and value premiums in average stock returns. The size premium is almost entirely generated by the small-capitalization stocks that earn extreme positive returns and thus become big-cap stocks. The value premium comes from (1) value stocks that improve in type because their companies are acquired by other companies or because they earn high returns and migrate to a neutral or growth portfolio, (2) growth stocks that earn low returns and thus move to a neutral or value portfolio, and (3) the slightly higher returns on value stocks that do not migrate compared with the returns on growth stocks that do not migrate.

Keywords: Portfolio Management: Equity Strategies, Asset Allocation

JEL Classification: G12

Accepted Paper Series

Not Available For Download

Date posted: June 11, 2007  

Suggested Citation

Fama, Eugene F. and French, Kenneth R., Migration. Financial Analysts Journal, Vol. 63, No. 3, pp. 48-58, 2007. Available at SSRN: http://ssrn.com/abstract=992212

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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