Characteristics, Covariances, and Average Returns: 1929 to 1997

By James L. Davis, Eugene F. Fama, Kenneth R. French. 2000

319 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/6b5b82f770d82f90adff59384fbdbfb1caac6770

Citations in the corpus

• The Value Premium (2005, unknown): “14 The historical data on 10 book-to-market portfolios are those used in Davis, Fama, and French (2000) and are available from Kenneth French’s web site.”
• Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics? (2001, unknown): “The long and short positions in these portfolios are the reverse of the portfolios in Daniel and Titman, but are consistent with how they are reported in Davis et al. (2000). This has no effect on our results other than changing the signs of the intercepts and”
• Is Size Dead? A Review of the Size Effect in Equity Returns (2011, unknown): “Davis, Fama, and French (2000) indicate that over the extended sample period 1929-1997, the U.S. size effect is too small to accurately distinguish between the risk model and the characteristics model.”
• The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors (2015, unknown): “Our analysis here considers twenty-five price-dividend ratios of portfolios sorted by size and book-to-market characteristics over the post-war period 1946-2009 (following Fama and French (1993); see appendix for details of our data construction).”
• Can Book-to-Market, Size, and Momentum Be Risk Factors That Predict Economic Growth? (2000, unknown): “3 Fama (1981) documents the presence of a positive and statistically signi"cant relation between the market factor and future economic growth in the United States.”
• Anomalies and Market Efficiency (2002, unknown): “However, Davis, Fama, and French (2000) found that Daniel and Titman’s results do not hold up outside their sample period.”
• Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information (2010, unknown): “In contrast, Fama and French (1996) and Davis, Fama, and French (2000) rely on ex post information.”
• Excess Cash and Stock Returns (2010, unknown): “■ Appendix A. Data Definitions Book equity used to calculate the book-to-market ratio, BM9 is defined following Davis, Fama, and French (2000) as stockholders' book equity plus balance sheet deferred taxes plus investment This content downloaded from 158.121.59.17 on Mon, 05 Oct 2015 16:18:49 UTC…”
• Bad Beta, Good Beta (2004, unknown): “Such an investor may demand a higher premium to hold assets that covary with the market’s cash-flow news than to hold assets that covary with news about the market’s discount rates, for poor returns driven by increases in discount rates are partially compensated by improved prospects for future…”
• Asset Growth and the Cross-Section of Stock Returns (2008, unknown): “BM (book-to-market ratio) is calculated using the Compustat data in the fiscal year ending in calendar year t−1 and is defined as in Davis, Fama, and French (2000).”