• DOI:10.1111/J.1540-6261.1996.TB05202.X
Corpus ID: 155021656

Multifactor Explanations of Asset Pricing Anomalies

@article{Fama1996MultifactorEO,
  title={Multifactor Explanations of Asset Pricing Anomalies},
  author={Eugene F. Fama and K. French},
  journal={Journal of Finance},
  year={1996},
  volume={51},
  pages={55-84}
}

Eugene F. Fama, K. French, K. French

Published 1996

Economics

Journal of Finance

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 return, and short-term past return. Because these patterns in average returns apparently are not explained by the capital asset pricing model, (CAPM), they are called anomalies. The authors find that, except for the continuation of short-term returns, the anomalies largely disappear in a three-factor… CONTINUE READING

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