The Cross-Section of Expected Stock Returns
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ABSTRACT Two easily measured variables, size and book‐to‐market equity, combine to capture the cross‐sectional variation in average stock returns associated with market β , size, leverage, book‐to‐market equity, and earnings‐price ratios. Moreover, when the tests allow for variation in β that is unrelated to size, the relation between market β and average return is flat, even when β is the only explanatory variable.
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The Fama and French (1992) HML and SMB factors are correlated.
“For example, it is well known that two of the most popular factors, the Fama and French (1992) HML and SMB, are correlated.”
From … and the Cross-Section of Expected Returns (2016) · cites this paper as Fama and French (1992)
The discussion in “A. Rational Asset-Pricing Stories” reports a −0.26 correlation between firm size and book-to-market equity, not between returns on the HML and SMB factors. Searches for “HML SMB factors correlated” and “high minus low small minus big factor returns correlation” found no passage in our copy reporting the claimed factor correlation. (LLM, conf=0.77)
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Research works printed but not linked: 27
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- Authors
- Fama, E. F., & French, K. R.
- Affiliations
- University of Chicago (US)
- Venue
- The Journal of Finance
- Publisher
- JSTOR
- Published
- 1992-06
- Volume
- 47
- Issue
- 2
- Pages
- 427
- ISSN
- 0022-1082 (ISSN-L)
- OpenAlex
- W2166215547
- Cited by
- 17,259
- References
- 0
- Citations by year
- 2026: 181 · 2025: 512 · 2024: 721 · 2023: 766 · 2022: 698 · 2021: 791 · 2020: 747 · 2019: 740 · 2018: 709 · 2017: 785 · 2016: 799 · 2015: 895 · 2014: 877 · 2013: 828 · 2012: 906
- FWCI
- 148.75
- Type
- journal article
- Language
- en
- Open access
- bronze
- doi.org
- Locations
- The Journal of Finance (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 › Business, Management and Accounting › Accounting › Corporate Finance and Governance
- Keywords
- cross-section of stock returns, size effect, book-to-market equity, market beta, leverage, earnings-to-price ratio, asset pricing anomalies, expected stock returns
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