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

The DOI matches its Crossref record; 31 of the 31 references it cites were found in a registry or an index.

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

Open this paper in CoChat — free account

Integrity signals

Registry

Crossref · 10.1016/0304-405x(93)90023-5

Cites

31 of 31 references verified0 citation errors · 0 not checkable

Statistics

Recomputing p-values needs the paper’s full text.

Claims the paper makes

We couldn’t retrieve this paper’s full text, so its claims and self-check weren’t run. The registry and citation checks still apply.

Claims other papers make about this one

Each is checked against this paper’s own text: does it say what the citing paper says it does?

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
An Intertemporal Capital Asset Pricing Model
Merton, R. C. (1973) · Econometrica · doi:10.2307/1913811 · Cited by 6,559
The relationship between return and market value of common stocks
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
Efficient capital-markets II
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
Self-citation

Show all 31 references

Research works printed but not linked: 2

Agrawal, 1991, The post-merger performance of acquired firms: A re-examination of an anomaly, Journal of Finance
Roll,, 1983, Vas ist das? The turn-of-the-year effect and the return premia of small firms, Journal of Portfolio Management, 9, 18

Sorted by citations

Items 401–500 of 1,028

Corporate environmental responsibility and the cost of capital: International evidence
El Ghoul, S., Guedhami, O., Kim, H., & Park, K. (2018) · Journal of Business Ethics · doi:10.1007/s10551-015-3005-6 · Cited by 544
Learning by Trading
Seru, A., Shumway, T., & Stoffman, N. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhp060 · Cited by 515
Labor Income and Predictable Stock Returns
Santos, T., & Veronesi, P. (2005) · Review of Financial Studies · doi:10.1093/rfs/hhj006 · Cited by 546
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent VariablesPreprint
Ang, A., & Piazzesi, M. (1999) · SSRN Electronic Journal · doi:10.2139/ssrn.194748 · Cited by 543
Financial performance of socially responsible investing ( SRI ): what have we learned? A meta‐analysis
Revelli, C., & Viviani, J. (2014) · Business Ethics A European Review · doi:10.1111/beer.12076 · Cited by 631
Are IPOs Really Underpriced?
Purnanandam, A. K., & Swaminathan, B. (2004) · Review of Financial Studies · doi:10.1093/rfs/hhg055 · Cited by 593
Investigating the Behavior of Idiosyncratic Volatility*
Xu, Y. J., & Malkiel, B. G. (2003) · The Journal of Business · doi:10.1086/377033 · Cited by 541
Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows
Jain, P. C., & Wu, J. S. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00232 · Cited by 526
Financial reporting quality and idiosyncratic return volatility
Rajgopal, S., & Venkatachalam, M. (2010) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2010.06.001 · Cited by 570
Real options reasoning and a new look at the R&D investment strategies of pharmaceutical firms
McGrath, R. G., & Nerkar, A. A. (2003) · Strategic Management Journal · doi:10.1002/smj.358 · Cited by 540
Flights of fancy: Corporate jets, CEO perquisites, and inferior shareholder returns
Yermack, D. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2005.05.002 · Cited by 503
Characteristics, Covariances, and Average Returns: 1929-1997Preprint
Davis, J. L., Fama, E. F., & French, K. R. (1998) · SSRN Electronic Journal · doi:10.2139/ssrn.98678 · Cited by 537
Self-citation
Market expectations in the cross-section of present values
KELLY, B., & PRUITT, S. (2013) · The Journal of Finance · doi:10.1111/jofi.12060 · Cited by 584
Corporate social performance, analyst stock recommendations, and firm future returns
Luo, X., Wang, H. C., Raithel, S., & Zheng, Q. (2013) · Strategic Management Journal · doi:10.1002/smj.2219 · Cited by 556
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
Jagannathan, R., & Ma, T. (2002) · National Bureau of Economic Research · doi:10.3386/w8922 · Cited by 535
Is working capital management value-enhancing? Evidence from firm performance and investments
Aktas, N., Croci, E., & Petmezas, D. (2015) · Journal of Corporate Finance · doi:10.1016/j.jcorpfin.2014.12.008 · Cited by 534
The Predictive Value of Expenses Excluded from Pro Forma Earnings
Doyle, J. T., Lundholm, R. J., & Soliman, M. T. (2003) · Review of Accounting Studies · doi:10.1023/a:1024472210359 · Cited by 532
Founder-CEOs, Investment Decisions, and Stock Market Performance
Fahlenbrach, R. (2009) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109009090139 · Cited by 564
What Risk Factors Matter to Investors? Evidence from Mutual Fund Flows
Barber, B. M., Huang, X., & Terrance Odean, B. (2014) · Review of Financial Studies · doi:10.1093/rfs/hhw054 · Cited by 527
Regulatory pressure and fire sales in the corporate bond market
Ellul, A., Jotikasthira, C., & LUNDBLAD, C. T. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.03.020 · Cited by 529
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
Lustig, H. N., & Verdelhan, A. (2007) · American Economic Review · doi:10.1257/aer.97.1.89 · Cited by 528
Toward Maximum Diversification
Choueifaty, Y., & Coignard, Y. (2008) · The Journal of Portfolio Management · doi:10.3905/jpm.2008.35.1.40 · Cited by 527
Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index
Chen, A., Leung, M. T., & Daouk, H. (2002) · Computers & Operations Research · doi:10.1016/s0305-0548(02)00037-0 · Cited by 527
Market Underreaction to Open Market Share Repurchases
Ikenberry, D. L., Lakonishok, J., & Vermaelen, T. (1994) · National Bureau of Economic Research · doi:10.3386/w4965 · Cited by 559
The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis
Nordén, L. L., & Weber, M. (2009) · European Financial Management · doi:10.1111/j.1468-036x.2007.00427.x · Cited by 526
Short and Long Horizon Behavioral Factors
Daniel, K., Hirshleifer, D. A., & Sun, L. (2017) · Review of Financial Studies · doi:10.1093/rfs/hhz069 · Cited by 496
Asset Pricing Models and Financial Market Anomalies
Avramov, D., & Chordia, T. (2006) · Review of Financial Studies · doi:10.1093/rfs/hhj025 · Cited by 526
Seasoned public offerings: Resolution of the "new issues puzzle"
Eckbo, B. E., Masulis, R. W., & Norli, Ø. (1998) · BIBSYS Brage (BIBSYS (Norway)) · Cited by 514
Does engagement in corporate social responsibility provide strategic insurance‐like effects?
Shiu, Y., & Yang, S. (2015) · Strategic Management Journal · doi:10.1002/smj.2494 · Cited by 523
Do Peso Problems Explain the Returns to the Carry Trade?
Burnside, C., Eichenbaum, M., Isaac Kleshchelski, Y., & Rebelo, S. T. (2010) · Review of Financial Studies · doi:10.1093/rfs/hhq138 · Cited by 554
Proprietary Costs and the Disclosure of Information About Customers
Ellis, J. A., Fee, C. E., & Thomas, S. (2012) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2012.00441.x · Cited by 496
The Value Premium and the CAPM
Fama, E. F., & French, K. R. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.01054.x · Cited by 520
Self-citation
The Cross Section of Expected REIT Returns
Chui, A. C. W., Titman, S. D., & Wei, K. C. J. (2003) · Real Estate Economics · doi:10.1111/1540-6229.00073 · Cited by 520
Brands Matter: An Empirical Demonstration of the Creation of Shareholder Value Through Branding
Madden, T. J. (2006) · Journal of the Academy of Marketing Science · doi:10.1177/0092070305283356 · Cited by 520
Arbitrage risk and the book-to-market anomaly
Ali, A., Hwang, L.-S., & Trombley, M. A. (2003) · Journal of Financial Economics · doi:10.1016/s0304-405x(03)00116-8 · Cited by 518
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected ReturnsPreprint
Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011) · SSRN Electronic Journal · doi:10.2139/ssrn.1262416 · Cited by 1,433
Quality minus junk
Asness, C. S., Frazzini, A., & Pedersen, L. H. (2018) · Review of Accounting Studies · doi:10.1007/s11142-018-9470-2 · Cited by 620
How Wise Are Crowds? Insights from Retail Orders and Stock Returns
Kelley, E. K., & Tetlock, P. C. (2013) · The Journal of Finance · doi:10.1111/jofi.12028 · Cited by 483
On the Timing of CEO Stock Option Awards
Lie, E. (2005) · Management Science · doi:10.1287/mnsc.1050.0365 · Cited by 511
Rank‐Order Tournaments and Incentive Alignment: The Effect on Firm Performance
Kale, J. R., Reis, E., & Venkateswaran, A. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01470.x · Cited by 495
Does realized skewness predict the cross-section of equity returns?
Amaya, D., Christoffersen, P., Jacobs, K., & Vasquez, A. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2015.02.009 · Cited by 486
Informational effects of regulation FD: evidence from rating agencies
Jorion, P., Liu, Z., & Shi, C. (2004) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.05.001 · Cited by 507
Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?
Chordia, T., Subrahmanyam, A., & Tong, Q. (2014) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2014.06.001 · Cited by 483
An Empirical Analysis of Analysts' Target Prices: Short‐term Informativeness and Long‐term Dynamics
Brav, A. P., & Lehavy, R. (2003) · The Journal of Finance · doi:10.1111/1540-6261.00593 · Cited by 472
How Valuable Is Financial Flexibility when Revenue Stops? Evidence from the COVID-19 Crisis
Fahlenbrach, R., Rageth, K., & Stulz, R. M. (2020) · Review of Financial Studies · doi:10.1093/rfs/hhaa134 · Cited by 564
Chapter 15 Anomalies and market efficiency
Schwert, G. W. (2003) · Handbook of the economics of finance · doi:10.1016/s1574-0102(03)01024-0 · Cited by 503
Risk management, firm reputation, and the impact of successful cyberattacks on target firms
Kamiya, S., Kang, J., Kim, J., Milidonis, A., & Stulz, R. M. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2019.05.019 · Cited by 536
The Effect of SOX Section 404: Costs, Earnings Quality, and Stock Prices
Iliev, P. (2010) · The Journal of Finance · doi:10.1111/j.1540-6261.2010.01564.x · Cited by 502
Share restrictions and asset pricing: Evidence from the hedge fund industry☆
Aragon, G. O. (2006) · Journal of Financial Economics · doi:10.1016/j.jfineco.2005.11.001 · Cited by 459
The impact of social and conventional media on firm equity value: A sentiment analysis approach
Yu, Y., Duan, W., & Cao, Q. (2012) · Decision Support Systems · doi:10.1016/j.dss.2012.12.028 · Cited by 498
Deep Learning in Asset Pricing
Chen, L., Pelger, M., & Zhu, J. (2023) · Management Science · doi:10.1287/mnsc.2023.4695 · Cited by 535
Information Asymmetry, Diversification, and Cost of Capital
Hughes, J. S., Liu, J., & Liu, J. (2007) · The Accounting Review · doi:10.2308/accr.2007.82.3.705 · Cited by 482
Empirical evidence on corporate governance in Europe: The effect on stock returns, firm value and performance
Bauer, R. M. M. J., Guenster, N. K., & Otten, R. (2004) · Journal of Asset Management · doi:10.1057/palgrave.jam.2240131 · Cited by 498
The Relation between Price and Performance in the Mutual Fund Industry
Gil‐Bazo, J., & Ruiz‐Verdú, P. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01497.x · Cited by 531
Attracting Investor Attention through Advertising
Lou, D. (2014) · Review of Financial Studies · doi:10.1093/rfs/hhu019 · Cited by 492
When Does Information Asymmetry Affect the Cost of Capital?
ARMSTRONG, C. S., Core, J. E., Taylor, D. J., & Verrecchia, R. E. (2010) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2010.00391.x · Cited by 477
Simultaneously Discovering and Quantifying Risk Types from Textual Risk Disclosures
Bao, Y., & Datta, A. (2014) · Management Science · doi:10.1287/mnsc.2014.1930 · Cited by 490
Momentum and Autocorrelation in Stock Returns
Lewellen, J. W. (2002) · Review of Financial Studies · doi:10.1093/rfs/15.2.533 · Cited by 491
Stock Liquidity and Stock Price Crash Risk
Chang, X., Chen, Y., & Zolotoy, L. (2017) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109017000473 · Cited by 491
Comparing asset pricing models: an investment perspective
Pástor, Ľ., & Stambaugh, R. F. (2000) · Journal of Financial Economics · doi:10.1016/s0304-405x(00)00044-1 · Cited by 491
Autoencoder Asset Pricing Models
Gu, S., Kelly, B., & Xiu, D. (2019) · Journal of Econometrics · doi:10.1016/j.jeconom.2020.07.009 · Cited by 490
The CAPM is Wanted, Dead or Alive
Fama, E. F., & French, K. R. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05233.x · Cited by 488
Self-citation
An Augmented q -Factor Model with Expected Growth
Hou, K., Mo, H., Chen, X., & Zhang, L. (2020) · European Finance Review · doi:10.1093/rof/rfaa004 · Cited by 488
The New Issues Puzzle: Testing the Investment-Based Explanation
Lyandres, E., Sun, L., & Zhang, L. (2007) · Review of Financial Studies · doi:10.1093/rfs/hhm058 · Cited by 465
Product Market Competition, Insider Trading, and Stock Market Efficiency
Peress, J. (2010) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01522.x · Cited by 482
Investor activism and takeovers☆
Greenwood, R. M., & Schor, M. (2009) · Journal of Financial Economics · doi:10.1016/j.jfineco.2008.05.005 · Cited by 486
Investing in Socially Responsible Mutual Funds
Geczy, C. C., Stambaugh, R. F., & Levin, D. (2021) · The Review of Asset Pricing Studies · doi:10.1093/rapstu/raab004 · Cited by 486
Financial Constraints, R&D Investment, and Stock Returns
Li, D. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhr043 · Cited by 482
A Habit‐Based Explanation of the Exchange Rate Risk Premium
Verdelhan, A. (2010) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01525.x · Cited by 459
Corporate Purpose and Financial Performance
Gartenberg, C. M., Prat, A., & Serafeim, G. (2019) · Organization Science · doi:10.1287/orsc.2018.1230 · Cited by 491
A Century of Stock Market Liquidity and Trading CostsPreprint
Jones, C. M. (2002) · SSRN Electronic Journal · doi:10.2139/ssrn.313681 · Cited by 484
The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?
Moskowitz, T. J., & Vissing‐Jørgensen, A. (2002) · National Bureau of Economic Research · doi:10.3386/w8876 · Cited by 496
Corporate Governance and Expected Stock Returns: Evidence from Germany
Drobetz, W., Schillhofer, A., & Zimmermann, H. (2004) · European Financial Management · doi:10.1111/j.1354-7798.2004.00250.x · Cited by 482
Market Timing and Managerial Portfolio Decisions
Jenter, D. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00783.x · Cited by 466
CEO Personal Risk-Taking and Corporate Policies
Cain, M. D., & McKeon, S. B. (2016) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109016000041 · Cited by 480
Wealth Destruction on a Massive Scale? A Study of Acquiring-Firm Returns in the Recent Merger Wave
Moeller, S. B., Schlingemann, F. P., & Stulz, R. M. (2004) · National Bureau of Economic Research · doi:10.3386/w10200 · Cited by 503
Is Money Really 'Smart'? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance PersistencePreprint
Wermers, R. R. (2003) · SSRN Electronic Journal · doi:10.2139/ssrn.414420 · Cited by 469
Corporate Sociopolitical Activism and Firm Value
Bhagwat, Y., Warren, N. L., Beck, J. T., & Watson, G. F. (2020) · Journal of Marketing · doi:10.1177/0022242920937000 · Cited by 493
Complicated firms
Cohen, L. H., & Lou, D. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.08.006 · Cited by 438
Information and the Cost of CapitalPreprint
O’Hara, M., & Easley, D. A. (2002) · SSRN Electronic Journal · doi:10.2139/ssrn.300715 · Cited by 477
Recent trends in trading activity and market quality
Chordia, T., Roll, R. W., & Subrahmanyam, A. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.03.008 · Cited by 475
Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk
Adrian, T., & Rosenberg, J. V. (2008) · The Journal of Finance · doi:10.1111/j.1540-6261.2008.01419.x · Cited by 450
Common and fundamental factors in stock returns of Canadian oil and gas companies
Boyer, M. M., & Filion, D. (2006) · Energy Economics · doi:10.1016/j.eneco.2005.12.003 · Cited by 473
Mutual Fund's R 2 as Predictor of Performance
Yakov Amihud, A., & Goyenko, R. Y. (2012) · Review of Financial Studies · doi:10.1093/rfs/hhs182 · Cited by 477
Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme
Oestreich, A. M., & Tsiakas, I. (2015) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2015.05.005 · Cited by 468
Who underreacts to cash-flow news? evidence from trading between individuals and institutions
Cohen, R. B., Gompers, P. A., & Vuolteenaho, T. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(02)00229-5 · Cited by 472
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment
Burnside, C. (2011) · American Economic Review · doi:10.1257/aer.101.7.3456 · Cited by 484
Is momentum really momentum?
Novy‐Marx, R. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.05.003 · Cited by 471
Hedge Fund Contagion and Liquidity Shocks
Boyson, N. M., Stahel, C. W., & Stulz, R. M. (2010) · The Journal of Finance · doi:10.1111/j.1540-6261.2010.01594.x · Cited by 471
Labor Unions, Operating Flexibility, and the Cost of Equity
Chen, H. J., Kacperczyk, M. T., & Ortiz‐Molina, H. (2010) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109010000645 · Cited by 471
Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies
Tu, J., & Zhou, G. (2010) · Journal of Financial Economics · doi:10.1016/j.jfineco.2010.08.013 · Cited by 468
A Review of IPO Activity, Pricing and AllocationsPreprint
Ritter, J. R., & Welch, I. (2002) · SSRN Electronic Journal · doi:10.2139/ssrn.296393 · Cited by 468
Evolution in Value Relevance of Accounting Information
Barth, M. E., Li, K., & McClure, C. G. (2019) · Accounting Review · doi:10.2139/ssrn.2933197 · Cited by 196
Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
Brandt, M. W., Pedro Santa-clara, B., & Valkanov, R. I. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhp003 · Cited by 464
Causality Between Corporate Social Performance and Financial Performance: Evidence from Canadian Firms
Makni, R., Francœur, C., & Bellavance, F. (2008) · Journal of Business Ethics · doi:10.1007/s10551-008-0007-7 · Cited by 509
ESG Disclosure and Idiosyncratic Risk in Initial Public Offerings
Reber, B., Gold, A., & Gold, S. (2021) · Journal of Business Ethics · doi:10.1007/s10551-021-04847-8 · Cited by 465
Executive stock options, differential risk-taking incentives, and firm value
Armstrong, C. S., & Vashishtha, R. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.11.005 · Cited by 464
The Value Spread
Cohen, R. B., Polk, C., & Vuolteenaho, T. (2003) · The Journal of Finance · doi:10.1111/1540-6261.00539 · Cited by 463
Momentum strategies in commodity futures markets
Miffre, J., & Rallis, G. (2007) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2006.12.005 · Cited by 444
Accounting anomalies and fundamental analysis: A review of recent research advances
Richardson, S. A., Tuna, İ., & Wysocki, P. D. (2010) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2010.09.008 · Cited by 446

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

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

Are you an author, or do you see a problem with this page? Request a review

Common risk factors in the returns on stocks and bonds

Overview

Integrity signals

Verification

Claims the paper makes

Claims other papers make about this one

Citations

Cites

Cited by

Related

Metadata

Record

About these checks