Average Returns, B/M, and Share Issues

By Eugene F. Fama, Kenneth R. French. 2008

294 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/072503315d20d63388af4be4d38f414d0abd9752

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Citations in the corpus

The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, unknown): “A recent study of Fama and French (2008) shows that the most robust cross-sectional predictors of returns are those associated with accruals, stock issues, and momentum.”
Issuer Quality and Corporate Bond Returns (2013, unknown): “ 18 See also Fama and French (2008), and Pontiff and Woodgate (2008) for firm-level stock returns; Baker and Wurgler (2000) and Greenwood and Hanson (2012) for equity market and equity-factor returns; and Baker, Greenwood, and Wurgler…”
Nominal price illusion (2016, methodology): “Book equity of common equity is calculated following Fama and French (2008).”
Institutional Investor Attention and Firm Disclosure (2020, background): “As an 9 meaningful and that data is available on sample firms, Distractioni,t is calculated excluding microcap firms, defined as stocks with market value below the 20th NYSE percentile breakpoint following Fama and French (2008).”
The five-factor asset pricing model tests for the Chinese stock market (2017, background): “1 See, e.g., Fairfield et al. (2003), Titman et al. (2004), Fama and French (2006, 2008a), Aharoni et al. (2013) and Novy-Marx (2013). http://dx.doi.org/10.1016/j.pacfin.2017.02.001 0927-538X/© 2017 Elsevier B.V.”
The Role of Shorting, Firm Size, and Time on Market Anomalies (2013, methodology): “Conversely, turning to value sorted portfolios, Figure 3 shows there is a stronger value premium among small and micro-cap stocks in every subperiod, consistent with the previous literature (Fama and French, 1993, 1996, 2008; and Grinblatt and Moskowitz, 2004).”
Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, unknown): “Johnson (2004), Nagel (2005), and Fama and French (2008) have used 14Han and Lesmond (2011) theorize that the difference in variance estimated using the transactionprice-based returns and the quote-midpoint-based returns is related to the square of the bid–ask spread.”
Monitoring and Corporate Disclosure: Evidence from a Natural Experiment (2013, methodology): “We classify firms as equity issuers following Fama and French (2008).”
Institutional Trade Persistence and Long-term Equity Returns (2011, unknown): “…Table IV about here] The return predictability that we identify is concentrated, however, amongst stocks with market capitalization in the bottom tercile of the NYSE, a feature consistent with other papers identifying cross-sectional return predictability (see, for example, Fama and French (2008)).”
Corporate Environmental Responsibility and Equity Prices (2013, background): “In addition, according to prior studies (e.g., Fama and French 2008; Edmans 2011), the underreaction (mispricing) is exploitable.7 Moral attachment, from investor’s perspective, gives insights on the outperformance.”
Optimal convergence rates, Bahadur representation, and asymptotic normality of partitioning estimators☆ (2013, unknown): “See, e.g., Fama and French (2008).”
Innovative Efficiency and Stock Returns (2013, unknown): “24 We define microstocks as the stocks below the 20th percentile of NYSE firms’ size following Fama and French (2008). efficiency and greater predictability of stock returns.”
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2011, methodology): “The key statistics are the return and 4-factor alpha differences (and Newey-West t-statistics) between the low MAX(N) and high MAX(N) portfolios, i.e., the differences between returns on portfolios that vary in MAX(N) but have approximately the same levels of idiosyncratic volatility.”