Multifactor explanations of asset pricing anomalies
Fama E.F., French K.R.
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 CAPM, they are called anomalies. We find that, except for the continuation of short-term returns, the anomalies largely disappear in a three-factor model. Our results are consistent with rational ICAPM or APT asset pricing, but we also consider irrational pricing and data problems as possible explanations.
سال:
1996
زبان:
english
صفحات:
31
فائل:
PDF, 3.20 MB
IPFS:
,
english, 1996
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