Common risk factors in the returns on stocks and bonds

@article{Fama1993CommonRF,
  title={Common risk factors in the returns on stocks and bonds},
  author={Eugene F. Fama and K. French},
  journal={Journal of Financial Economics},
  year={1993},
  volume={33},
  pages={3-56}
}
  • Eugene F. Fama, K. French
  • Published 1993
  • Economics
  • Journal of Financial Economics
  • 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 equity. There are two bond-market factors. related to maturity and default risks. Stock returns have shared variation due to the stock-market factors, and they are linked to bond returns through shared variation in the bond-market factors. Except for low-grade corporates. the bond-market factors… CONTINUE READING
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