The Value Premium and the CAPM

By Eugene F. Fama, Kenneth R. French. 2006

484 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/0d7f98ac3399b0e4bb2e1276b201fd407c3c3f29

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Citations in the corpus

What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data (2010, background): “3 See, for example, Fama and French (2006) , Lewellen and Nagel (2006), and Ang and Chen (2007).”
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts (2010, unknown): “Hence the statistical evidence appears to support the conclusion in Fama and French (2006) that there is a value e¤ect even among large stocks, although the spread in the top-minusbottom portfolios'average returns is much wider for the smallest stocks than for the largest stocks.”
The History of the Cross Section of Stock Returns (2016, unknown): “Nevertheless, the value premium (which is based on the book value of equity) is one of the anomalies that exists in the pre-1963 data (Fama and French 2006); in section 4, we show that the asset and sales growth anomalies, by contrast, are absent.”
Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (2014, unknown): “Annual horizon moving windows are also commonly used for the estimation of traditional CAPM betas based on coarser daily or monthly observations, as in, e.g., Ang, Chen, and Xing (2006a) and Fama and French (2006).”
Habit formation, the cross section of stock returns and the cash-flow risk puzzle (2010, background): “Lundblad (2005), Parker and Julliard (2005), and Hansen, Heaton, and Li (2008). Also Liew and Vassalou (2000) and Vassalou (2003) show that news about forecasts of Gross Domestic Product (GDP) growth correlate with value stock returns.”
Comparing Asset Pricing Models (2017, background): “In related evidence, Ang and Chen (2007) and Fama and French (2006) find that CAPM works well for B/M-sorted portfolios before 1963.”
Time-varying beta: a boundedly rational equilibrium approach (2010, unknown): “Campbell and Vuolteenaho (2004), Fama and French (2006) , and Lewellen and Nagel (2006) assume discrete changes in betas across subsamples but constant betas within subsamples.”
The Role of Shorting, Firm Size, and Time on Market Anomalies (2013, result): “This result is consistent with Fama and French (2006) who also find that the CAPM captures HML in the pre-1962 period.”
Corporate Environmental Responsibility and Firm Risk (2015, background): “Thus, betas over a long horizon can be noisy, prompting Ang et al. (2006) and Fama and French (2006) to advocate estimating betas using an annual horizon.”