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
Self-citation
Risk, Return, and Equilibrium: Empirical Tests
Fama, E. F., & MacBeth, J. D. (1973) · Journal of Political Economy · doi:10.1086/260061 · Cited by 14,258
Self-citation
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
Lintner, J. (1965) · The Review of Economics and Statistics · doi:10.2307/1924119 · Cited by 7,888
The arbitrage theory of capital asset pricing
Ross, S. A. (1976) · Journal of Economic Theory · doi:10.1016/0022-0531(76)90046-6 · Cited by 7,081
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.]
Lintner, J. (1975) · Elsevier eBooks · doi:10.1016/b978-0-12-780850-5.50018-6 · Cited by 6,747
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Merton, R. C. (1973) · Econometrica · doi:10.2307/1913811 · Cited by 6,559
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Banz, R. W. (1981) · Journal of Financial Economics · doi:10.1016/0304-405x(81)90018-0 · Cited by 6,138
Economic Forces and the Stock Market
Chen, N., Roll, R. W., & Ross, S. A. (1986) · The Journal of Business · doi:10.1086/296344 · Cited by 5,408
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FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
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Agrawal, 1991, The post-merger performance of acquired firms: A re-examination of an anomaly, Journal of Finance
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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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Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

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Common risk factors in the returns on stocks and bonds

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