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Cited by 1,098

The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

Characteristics, Covariances, and Average Returns: 1929 to 1997

Davis, James L., Fama, Eugene F., French, Kenneth R.·2000·The Journal of Finance
DOI 10.1111/0022-1082.00209
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Abstract

The value premium in U.S. stock returns is robust. The positive relation between average return and book‐to‐market equity is as strong for 1929 to 1963 as for the subsequent period studied in previous papers. A three‐factor risk model explains the value premium better than the hypothesis that the book‐to‐market characteristic is compensated irrespective of risk loadings.

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Metadata

Authors
Davis, J. L., Fama, E. F., & French, K. R.
Venue
The Journal of Finance
Publisher
Wiley
Published
2000-02
Volume
55
Issue
1
Pages
389-406
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/0022-1082.00209
OpenAlex
W3121251221
Cited by
1,098
References
2
FWCI
62.37
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Characteristics, Covariances, and Average Returns: 1929 to 1997. https://app.cochat.ai/papers/10.1111/0022-1082.00209
The paper
Davis, J. L., Fama, E. F., & French, K. R. (2000). Characteristics, Covariances, and Average Returns: 1929 to 1997. The Journal of Finance. https://doi.org/10.1111/0022-1082.00209

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.