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The Value Premium and the CAPM
Open accessAbstract
We examine (1) how value premiums vary with firm size, (2) whether the CAPM explains value premiums, and (3) whether, in general, average returns compensate β in the way predicted by the CAPM. Loughran's (1997) evidence for a weak value premium among large firms is special to 1963 to 1995, U.S. stocks, and the book‐to‐market value‐growth indicator. Ang and Chen's (2005) evidence that the CAPM can explain U.S. value premiums is special to 1926 to 1963. The CAPM's more general problem is that variation in β unrelated to size and the value‐growth characteristic goes unrewarded throughout 1926 to 2004.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Self-citationCAPITAL 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
Cited by
Size, value, and momentum in international stock returns
Fama, E. F., & French, K. R. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.05.011 · Cited by 1,767
Self-citationFAMA, E. F., & FRENCH, K. R. (2008) · The Journal of Finance · doi:10.1111/j.1540-6261.2008.01371.x · Cited by 1,578
Self-citationLuo, X., & Bhattacharya, C. B. (2009) · Journal of Marketing · doi:10.1509/jmkg.73.6.198 · Cited by 962
Disagreement, tastes, and asset prices
Fama, E. F., & French, K. R. (2007) · Journal of Financial Economics · doi:10.1016/j.jfineco.2006.01.003 · Cited by 689
Self-citationThe Cross-section of Expected Stock Returns
Lewellen, J. (2015) · Critical Finance Review · doi:10.1561/104.00000024 · Cited by 407
Metadata
- Authors
- FAMA, E. F., & FRENCH, K. R.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2006-09-19
- Volume
- 61
- Issue
- 5
- Pages
- 2163-2185
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3124117111
- Cited by
- 501
- References
- 2
- FWCI
- 43.71
- Type
- journal article
- Language
- en
- Open access
- green
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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.
