Kenneth R. French

Dartmouth College - Tuck School of Business

Roth Family Distinguished Professor in Finance

Hanover, NH 03755

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • Dartmouth College - Tuck School of Business

SCHOLARLY PAPERS

43

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Scholarly Papers (43)

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1.

A Five-Factor Asset Pricing Model

Fama-Miller Working Paper
Number of pages: 52 Posted: 30 Jun 2013 Last Revised: 23 Sep 2014
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 69,822 (21)
Citation 181

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2.

The Capital Asset Pricing Model: Theory and Evidence

Number of pages: 35 Posted: 16 Sep 2003
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 48,188 (41)
Citation 155

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3.

Value Versus Growth: The International Evidence

Number of pages: 30 Posted: 01 May 1997
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 41,370 (53)
Citation 55

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4.

Taxes, Financing Decisions, and Firm Value

Downloads 27,209 ( 116)
Citation 35

Taxes, Financing Decisions, and Firm Value

Center for Research in Security Prices (CRSP) Working Paper No.
Number of pages: 34 Posted: 01 Feb 1997
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 27,209 (112)
Citation 35

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Taxes, Financing Decisions, and Firm Value

Posted: 28 Jul 1998
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business

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5.

Luck Versus Skill in the Cross Section of Mutual Fund Returns

Tuck School of Business Working Paper No. 2009-56 , Chicago Booth School of Business Research Paper, Journal of Finance, Forthcoming
Number of pages: 43 Posted: 10 Mar 2009 Last Revised: 08 Feb 2010
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 24,924 (137)
Citation 254

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6.

The Equity Premium

Downloads 19,823 ( 202)
Citation 98

The Equity Premium

Number of pages: 29 Posted: 20 Jul 2000
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 19,823 (198)
Citation 98

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The Equity Premium

Posted: 28 Nov 2003
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business

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7.

Size, Value, and Momentum in International Stock Returns

Fama-Miller Working Paper, Tuck School of Business Working Paper No. 2011-85, Chicago Booth Research Paper No. 11-10
Number of pages: 36 Posted: 05 Dec 2010 Last Revised: 23 Jun 2011
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 15,585 (328)
Citation 152

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8.

Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?

Number of pages: 53 Posted: 03 Feb 2000
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 12,109 (523)
Citation 133

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9.

The Cost of Active Investing

Number of pages: 50 Posted: 16 Mar 2008 Last Revised: 12 Apr 2008
Kenneth R. French
Dartmouth College - Tuck School of Business
Downloads 11,289 (599)
Citation 39

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10.

Characteristics, Covariances, and Average Returns: 1929-1997

Downloads 10,892 ( 642)
Citation 86

Characteristics, Covariances, and Average Returns: 1929-1997

Number of pages: 24 Posted: 12 Aug 1998
James L. Davis, Eugene F. Fama and Kenneth R. French
affiliation not provided to SSRN, University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 10,892 (633)
Citation 86

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Characteristics, Covariances, and Average Returns: 1929-1997

Posted: 13 Feb 2001
James L. Davis, Eugene F. Fama and Kenneth R. French
affiliation not provided to SSRN, University of Chicago - Finance and Dartmouth College - Tuck School of Business

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11.

Choosing Factors

Downloads 9,975 ( 746)
Citation 95

Choosing Factors

Fama-Miller Working Paper , Tuck School of Business Working Paper No. 2668236, Chicago Booth Research Paper No. 16-17
Number of pages: 54 Posted: 02 Oct 2015 Last Revised: 28 Mar 2017
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 8,466 (971)
Citation 79

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Five-factor model

Choosing Factors

Number of pages: 33 Posted: 06 Sep 2016
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 1,509 (17,247)
Citation 10

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12.

The Value Premium and the CAPM

Number of pages: 30 Posted: 16 Mar 2005
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 9,626 (796)
Citation 45

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13.

Dissecting Anomalies

CRSP Working Paper No. 610
Number of pages: 37 Posted: 26 Jun 2006
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 9,569 (802)
Citation 41

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Anomalies

14.

Dissecting Anomalies with a Five-Factor Model

Fama-Miller Working Paper
Number of pages: 49 Posted: 01 Oct 2014 Last Revised: 26 Jun 2015
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 8,970 (899)
Citation 245

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15.

Forecasting Profitability and Earnings

Downloads 8,560 ( 960)

Forecasting Profitability and Earnings

Number of pages: 18 Posted: 13 Nov 1997
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 8,560 (952)
Citation 55

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Forecasting Profitability and Earnings

Posted: 10 Mar 2000
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business

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16.

The Corporate Cost of Capital and the Return on Corporate Investment

CRSP Working Paper
Number of pages: 31 Posted: 11 Aug 1998
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 8,448 (982)
Citation 14

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17.

The Anatomy of Value and Growth Stock Returns

Downloads 8,391 ( 996)
Citation 16

The Anatomy of Value and Growth Stock Returns

CRSP Working Paper
Number of pages: 25 Posted: 28 Sep 2005
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 8,391 (993)
Citation 16

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The Anatomy of Value and Growth Stock Returns

Financial Analysts Journal, Vol. 63, No. 6, 2007
Posted: 14 Dec 2007
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business

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Portfolio Management: Equity Strategies

18.

Testing Tradeoff and Pecking Order Predictions About Dividends and Debt

Number of pages: 46 Posted: 15 Dec 1999
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 8,176 (1,052)
Citation 150

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19.

The Value Premium

Fama-Miller Working Paper No. 20-01
Number of pages: 20 Posted: 27 Jan 2020 Last Revised: 30 Jan 2020
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 7,677 (1,189)
Citation 15

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20.

Disagreement, Tastes, and Asset Prices

CRSP Working Paper No. 552, Tuck Business School Working Paper No. 2004-03
Number of pages: 35 Posted: 17 Nov 2005
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 6,671 (1,499)
Citation 81

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21.

Profitability, Growth, and Average Returns

Number of pages: 41 Posted: 30 Jul 2004
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 6,596 (1,532)
Citation 59

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22.

International Tests of a Five-Factor Asset Pricing Model

Fama-Miller Working Paper, Tuck School of Business Working Paper No. 2622782
Number of pages: 48 Posted: 26 Jun 2015 Last Revised: 31 Dec 2015
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 6,176 (1,731)
Citation 556

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23.

Financing Decisions: Who Issues Stock?

Number of pages: 39 Posted: 13 Aug 2003
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 5,891 (1,858)
Citation 118

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24.

New Lists: Fundamentals and Survival Rates

Number of pages: 57 Posted: 07 May 2003
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 4,784 (2,673)
Citation 47

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25.

Migration

Downloads 4,760 ( 2,690)

Migration

CRSP Working Paper No. 614
Number of pages: 24 Posted: 28 Aug 2006
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 4,760 (2,653)
Citation 10

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Size premium, value premium, average returns

Migration

Financial Analysts Journal, Vol. 63, No. 3, pp. 48-58, 2007
Posted: 11 Jun 2007
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business

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Portfolio Management: Equity Strategies, Asset Allocation

26.

Capital Structure Choices

Number of pages: 42 Posted: 15 Apr 2008 Last Revised: 22 Sep 2011
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 4,219 (3,294)
Citation 11

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Opportunistic Financing

27.

Average Returns, B/M, and Share Issues

CRSP Working Paper No. 619
Number of pages: 36 Posted: 20 May 2007 Last Revised: 22 Oct 2007
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 3,346 (4,903)
Citation 29

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Average Returns, B/M, and Share Issues

28.

Volatility Lessons

Chicago Booth Research Paper No. 17-33, Fama-Miller Working Paper
Number of pages: 20 Posted: 04 Dec 2017 Last Revised: 19 Oct 2018
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 3,091 (5,613)
Citation 4

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29.

Comparing Cross-Section and Time-Series Factor Models

Chicago Booth Research Paper No. 18-08, Fama-Miller Working Paper
Number of pages: 43 Posted: 16 Oct 2018 Last Revised: 15 Jun 2019
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 2,873 (6,333)
Citation 7

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30.

Long-Horizon Returns

Chicago Booth Research Paper No. 17-17, Fama-Miller Working Paper
Number of pages: 28 Posted: 24 May 2017 Last Revised: 21 Nov 2017
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 2,724 (6,870)
Citation 9

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31.

Incremental Variables and the Investment Opportunity Set

Downloads 2,029 ( 11,047)
Citation 4

Incremental Variables and the Investment Opportunity Set

Chicago Booth Research Paper No. 14-35, Fama-Miller Working Paper
Number of pages: 47 Posted: 15 Oct 2014 Last Revised: 17 Apr 2015
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 1,571 (16,222)
Citation 4

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Incremental variables, Investment opportunity set, Portfolio returns, Variable attenuation

Incremental Variables and the Investment Opportunity Set

Journal of Financial Economics (JFE), Forthcoming, Tuck School of Business Working Paper No. 2509517
Number of pages: 46 Posted: 09 Apr 2015
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 458 (88,182)

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Incremental variables, Investment opportunity set, Portfolio returns, Variable attenuation

32.

The Profitability and Equity Financing of Style Groups: 1906-2006

Number of pages: 27 Posted: 15 Jul 2008
Kenneth R. French and Eugene F. Fama
Dartmouth College - Tuck School of Business and University of Chicago - Finance
Downloads 1,985 (11,451)

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Equity financing, pecking order, Q-theory

33.

Reforming Money Market Funds

Tuck School of Business Working Paper No. 2011-86, Rock Center for Corporate Governance at Stanford University Working Paper No. 109, Columbia Business School Research Paper No. 12-13
Number of pages: 10 Posted: 19 Jan 2011 Last Revised: 20 Feb 2012
Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin, Jeremy C. Stein and René M. Stulz
Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia University - Columbia Business School, Finance, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS), Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance
Downloads 1,871 (12,563)
Citation 3

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34.

Investor Diversification and International Equity Markets

NBER Working Paper No. w3609
Number of pages: 15 Posted: 17 Oct 2007 Last Revised: 14 May 2022
Kenneth R. French, James M. Poterba and James M. Poterba
Dartmouth College - Tuck School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 899 (37,349)
Citation 27

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35.

Aligning Incentives at Systemically Important Financial Institutions

Columbia Business School Research Paper No. 13-18, Fisher College of Business Working Paper
Number of pages: 7 Posted: 28 Mar 2013
Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin and René M. Stulz
Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia University - Columbia Business School, Finance, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS) and Ohio State University (OSU) - Department of Finance
Downloads 766 (46,376)
Citation 1

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Bonus, compensation, contingent convertible bonds, capital, regulation, financial crisis

36.

Forecasting House Prices and Rents

Chicago Booth Research Paper No. 20-48, Fama-Miller Working Paper
Number of pages: 33 Posted: 09 Nov 2020 Last Revised: 26 Jul 2022
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 612 (62,210)
Citation 1

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37.

Were Japanese Stock Prices Too High?

NBER Working Paper No. w3290
Number of pages: 44 Posted: 27 Apr 2000 Last Revised: 30 Jun 2022
Kenneth R. French, James M. Poterba and James M. Poterba
Dartmouth College - Tuck School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 346 (122,473)
Citation 5

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38.

Japanese and U.S. Cross-Border Common Stock Investments

Number of pages: 18 Posted: 14 Jul 2000
Kenneth R. French, James M. Poterba and James M. Poterba
Dartmouth College - Tuck School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 232 (183,926)
Citation 4

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39.

The Squam Lake Report: Fixing the Financial System

Journal of Applied Corporate Finance, Vol. 22, Issue 3, pp. 8-21, Summer 2010
Number of pages: 16 Posted: 04 Oct 2010
Kenneth R. French, Martin Neil Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Anil K. Kashyap, Frederic S. Mishkin, Raghuram G. Rajan, David S. Scharfstein, Robert J. Shiller, Hyun Song Shin, Matthew J. Slaughter, Jeremy C. Stein and René M. Stulz
Dartmouth College - Tuck School of Business, Institute for International Economics, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, University of Chicago, Booth School of Business, Columbia University - Columbia Business School, Finance, University of Chicago - Booth School of Business, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Bank for International Settlements (BIS), Dartmouth College - Tuck School of Business, Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance
Downloads 21 (693,481)
Citation 4

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40.

Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group

Journal of Applied Corporate Finance, Vol. 25, Issue 4, pp. 37-40, 2013
Number of pages: 6 Posted: 23 Dec 2013
Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin and René M. Stulz
Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia University - Columbia Business School, Finance, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS) and Ohio State University (OSU) - Department of Finance
Downloads 14 (751,566)
Citation 1

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41.

Size and Book to Market Factors in Earnings and Returns

Posted: 10 May 2000
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business

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42.

Multifactor Explanations of Asset Pricing Anomalies

J. OF FINANCE, Vol. 51 No. 1, March 1996
Posted: 28 Jun 1998
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business

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43.

Investment Decisions, Financing Decisions, and Firm Value

Posted: 27 Jan 1997
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business

Abstract:

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