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- Publications
- Influence
Common risk factors in the returns on stocks and bonds
- Eugene F. Fama, K. French
- Economics
- 1 February 1993
This paper identities five common risk factors in the returns on stocks and bonds. There are three stock-market factors: an overall market factor and factors related to firm size and book-to-market… Expand
Multifactor Explanations of Asset Pricing Anomalies
- Eugene F. Fama, K. French, K. French
- Economics
- 1 March 1996
Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cash flow/price, book-to-market equity, past sales growth, long-term past… Expand
Industry costs of equity
- Eugene F. Fama, K. French
- Economics
- 1 February 1997
Abstract Estimates of the cost of equity for industries are imprecise. Standard errors of more than 3.0% per year are typical for both the CAPM and the three-factor model of Fama and French (1993).… Expand
A five-factor asset pricing model
- Eugene F. Fama, K. French
- 2013
A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF, 1993).… Expand
The Cross‐Section of Expected Stock Returns
- Eugene F. Fama, K. French
- Economics
- 1 June 1992
Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market 3, size, leverage, book-to-market… Expand
DISAPPEARING DIVIDENDS: CHANGING FIRM CHARACTERISTICS OR LOWER PROPENSITY TO PAY?
- Eugene F. Fama, K. French
- Economics, Business
- 1 March 2001
The percent of firms paying cash dividends falls from 66.5 in 1978 to 20.8 in 1999. The decline is due in part to the changing characteristics of publicly traded firms. Fed by new lists, the… Expand
Dividend yields and expected stock returns
- Eugene F. Fama, K. French
- Economics
- 1 October 1988
The power of dividend yields to forecast stock returns, measured by regression R2, increases with the return horizon. We offer a two-part explanation. (1) High autocorrelation causes the variance of… Expand
BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDS
- Eugene F. Fama, K. French
- Economics
- 1 November 1989
Abstract Expected returns on common stocks and long-term bonds contain a term or maturity premium that has a clear business-cycle pattern (low near peaks, high near troughs). Expected returns also… Expand
Testing Trade-Off and Pecking Order Predictions About Dividends and Debt
- Eugene F. Fama, K. French
- Economics
- 2002
Confirming predictions shared by the trade-off and pecking order models, more profitable firms and firms with fewer investments have higher dividend payouts. Confirming the pecking order model but… Expand
Size and Book-to-Market Factors in Earnings and Returns
- Eugene F. Fama, K. French, K. French
- Economics
- 1 March 1995
The authors study whether the behavior of stock prices, in relation to size and book-to-market equity (BE/ME), reflects the behavior of earnings. Consistent with rational pricing, high BE/ME signals… Expand