Cited by 25,754Financial Markets and Investment StrategiesFinancial Analysis and Corporate GovernanceFinancial Risk and Volatility Modeling

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Common risk factors in the returns on stocks and bonds

Fama, Eugene F., French, Kenneth R.·1993·Journal of Financial Economics

DOI 10.1016/0304-405x(93)90023-5

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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
The Cross‐Section of Expected Stock Returns
FAMA, E. F., & FRENCH, K. R. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04398.x · Cited by 17,261
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Risk, Return, and Equilibrium: Empirical Tests
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The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
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THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]
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Earnings management and the underperformance of seasoned equity offerings11We thank Brad Barber (the referee), Randy Beatty, Vic Bernard, K.C. Chan, Kent Daniel, M. DeFond, Laura Field, David Heike, Chuan Yang Hwang, Jonathan Karpoff, S.P. Kothari, Charles Lee, Wayne Mikkelson (the editor), Tim Opler, Krishna Palepu, K. Ramesh, Jay Ritter, Terry Shevlin, Doug Skinner, Sheridan Titman, Ross Watts, Jerry Zimmerman, and seminar participants at the University of California Finance and Accounting Conference (Davis, March 1995), the NBER Corporate Finance Conference (Boston, August 1995), the Center for Research in Security Prices Seminar (Chicago, October 1995), the American Finance Association Conference (San Francisco, 1996), the American Accounting Association Conference (Chicago, August 1996), the University of Michigan, and the University of Rochester for helpful comments and discussions.
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Authors: Fama, E. F., & French, K. R.
Affiliations: University of Chicago (US)
Corresponding author: Fama, Eugene F.
Venue: Journal of Financial Economics
Publisher: Elsevier BV
Published: 1993-02
Volume: 33
Issue: 1
Pages: 3-56
ISSN: 0304-405X (ISSN-L)
DOI: 10.1016/0304-405x(93)90023-5
OpenAlex: W1995834279
Cited by: 25,754
References: 31
Citations by year: 2026: 1224 · 2025: 1368 · 2024: 1316 · 2023: 1281 · 2022: 1315 · 2021: 1369 · 2020: 1403 · 2019: 1352 · 2018: 1300 · 2017: 1347 · 2016: 1220 · 2015: 1238 · 2014: 1204 · 2013: 1086 · 2012: 1223
FWCI: 45.53
Type: journal article
Language: en
Open access: closed
Licence: www.elsevier.com/tdm/userlicense/1.0/ (tdm)
Locations: Journal of Financial Economics (publishedVersion)
RePEc: Research Papers in Economics (submittedVersion)
Topics: Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
Social Sciences › Business, Management and Accounting › Accounting › Financial Analysis and Corporate Governance
Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
Keywords: shared risk factors, stock returns, bond returns, market factors, firm size, book-to-market equity, bond maturity, default risk, asset pricing

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Common risk factors in the returns on stocks and bonds

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