%0 Journal Article %1 fama1993 %A Fama, Eugene F. %A French, Kenneth R. %D 1993 %J Journal of Financial Economics %K factor-investing high-minus-low small-minus-big %N 1 %P 3-56 %R 10.1016/0304-405X(93)90023-5 %T Common risk factors in the returns on stocks and bonds %U http://www.sciencedirect.com/science/article/pii/0304405X93900235 %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{fama1993, 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 = {2019-03-13T21:18:20.000+0100}, author = {Fama, Eugene F. and French, Kenneth R.}, biburl = {https://www.bibsonomy.org/bibtex/2362ecae59fce2215e53e4b7909443d78/antoinefalck}, doi = {10.1016/0304-405X(93)90023-5}, interhash = {c58a09aac5e790b107d4d7e45339c278}, intrahash = {362ecae59fce2215e53e4b7909443d78}, issn = {0304-405X}, journal = {Journal of Financial Economics}, keywords = {factor-investing high-minus-low small-minus-big}, number = 1, pages = {3-56}, timestamp = {2019-10-11T20:40:32.000+0200}, title = {Common risk factors in the returns on stocks and bonds}, url = {http://www.sciencedirect.com/science/article/pii/0304405X93900235}, volume = 33, year = 1993 }