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Cited by 6,700

The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.

Multifactor Explanations of Asset Pricing Anomalies

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FAMA, EUGENE F., FRENCH, KENNETH R.·1996·The Journal of Finance
DOI 10.1111/j.1540-6261.1996.tb05202.x
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Abstract

Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cash flow/price, book‐to‐market equity, past sales growth, long‐term past return, and short‐term past return. Because these patterns in average returns apparently are not explained by the CAPM, they are called anomalies. We find that, except for the continuation of short‐term returns, the anomalies largely disappear in a three‐factor model. Our results are consistent with rational ICAPM or APT asset pricing, but we also consider irrational pricing and data problems as possible explanations.

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Crossref · 10.1111/j.1540-6261.1996.tb05202.x

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Metadata

Authors
FAMA, E. F., & FRENCH, K. R.
Venue
The Journal of Finance
Publisher
Wiley
Published
1996-03
Volume
51
Issue
1
Pages
55-84
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1996.tb05202.x
OpenAlex
W2113305199
Cited by
6,700
References
5
FWCI
94.72
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Multifactor Explanations of Asset Pricing Anomalies. https://app.cochat.ai/papers/10.1111/j.1540-6261.1996.tb05202.x
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FAMA, E. F., & FRENCH, K. R. (1996). Multifactor Explanations of Asset Pricing Anomalies. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1996.tb05202.x

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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.