Common risk factors in the returns on stocks and bonds

Abstract

journal of financial economics 33 (1993) 3-56. north-holland common stocks and bonds* risk factors in the returns on eugene f. fama and kenneth r. french unirrrsit.v 01 chicayo. chiccup. i .l 60637, c;s;l received july 1992. final version received september identities risk factors five common factors: an overall market this paper stock-market equity. there are two bond-market shared variation shared variation factors capture explain average due in the bond-market the common returns on stocks and bonds. to the stock-market variation factors. related factors, in the returns on stocks and bonds. there are three factor and factors related to firm size and book-to-market to maturity and default factors. except and they are for low-grade linked corporates. risks. stock returns have returns to bond through the bond-market seem to in bond returns. most important. the five factors 1. introduction the cross-section to either standing the market and litzenberger relation pricing model or the consumption of breeden (1979) and others. gibbons, no special the cross-section return variables earnings/price leverage, book value of a firm’s common banz (1981). bhandari (19853.1 of average includes of average returns on u.s. common /is of the sharpe (1964tlintner ps of the intertemporal [see, for example, reinganum (1989).] on the other hand, variables power determined reliable show in asset-pricing theory returns. the list of empirically stock size price (e/p), and book-to-market (me, times …

Source: pdf_first_chars