Common Risk Factors in the Returns On Stocks And Bonds (1993)
| Venue: | Journal of Financial Economics |
| Citations: | 597 - 19 self |
BibTeX
@ARTICLE{Fama93commonrisk,
author = {Eugene F. Fama and Kenneth R. French},
title = {Common Risk Factors in the Returns On Stocks And Bonds},
journal = {Journal of Financial Economics},
year = {1993},
volume = {33},
pages = {3--56}
}
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Abstract
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 capture the common variation in bond returns. Most important. the five factors seem to explain average returns on stocks and bonds. 1.
