%0 Journal Article %1 Fama-Fren-1993 %A Fama, Eugene F. %A French, Kenneth R. %D 1993 %K imported %N 1 %P 3-56 %T Common risk factors in the returns on stocks and bonds %V 33 %X This paper identifies 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.

@article{Fama-Fren-1993, abstract = {This paper identifies 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.}, added-at = {2006-07-21T21:05:53.000+0200}, author = {Fama, Eugene F. and French, Kenneth R.}, biburl = {https://www.bibsonomy.org/bibtex/2849b07af73df740609d2ba4bf3ad849e/deepgorge}, interhash = {c58a09aac5e790b107d4d7e45339c278}, intrahash = {849b07af73df740609d2ba4bf3ad849e}, keywords = {imported}, month = {1 February}, number = 1, pages = {3-56}, timestamp = {2006-07-21T21:05:53.000+0200}, title = {Common risk factors in the returns on stocks and bonds}, volume = 33, year = 1993 }