The Cross‐Section of Expected Stock Returns

By Eugene F. Fama, Kenneth R. French. 1992

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Citations in the corpus

Threshold-based portfolio: the role of the threshold and its applications (2017, neutral): “Examples include the thee-factor asset pricing model [18], the Black–Litterman model[19], the resampled eﬃcient frontier model [20], the global minimum variance model [21], the maximum diversiﬁcation portfolio [22], and the risk-parity portfolio [23, 24].”
The Long-Term Stock Market Valuation of Customer Satisfaction (2008, methodology): “In addition, stock returns are positively related to price-scaled indicators of fundamental value, such as the book-to-market ratio (e.g., Fama and French 1992; Lakonishok, Shleifer, and Vishny 1994).”
Deep Learning in Asset Pricing (2019, methodology): “The conventional approach is to calibrate and evaluate asset pricing models on a small number of prespecified test assets, for example the 25 size and book-to-market double-sorted portfolios of Fama and French (1992).”
Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers (2000, methodology): “Considerable research documents the returns to a high book-tomarket investment strategy (e.g., Rosenberg, Reid and Lanstein, 1984; Fama and French, 1992; Lakonishok, Shleifer and Vishny, 1994).”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “The last two terms in the expression for ω∗ in (80) are the hedging demands, which are visibly affected by both ambiguity (represented by θ ) and by the estimation risk (represented by η̂) caused by incomplete information: −(1)  ¡ (σR)0 ¢−1 θ + ¡ (σR)0 ¢−1 σ  (81)”
The Long Run Share Price Performance of Malaysian Initial Public Offerings (Ipos) (2006, unknown): “Focusing first on Panel A, when the SMB and HML portfolios are not purged of IPO companies, the mean alpha for the Fama and French (1993) three factor model is –0.”
How do investors respond to Green Company Awards in China (2013, methodology): “(MacKinlay, 1997) In our paper, we use two alternative models: the Capital Asset Pricing Model (CAPM) and the Fama-French Three-Factor Model (Fama and French, 1992).”
The Level and Persistence of Growth Rates (2003, background): “Given the weak documented relation between risk and expected return for individual stocks, however (Fama and French (1992)), the large dispersion is unlikely to be driven primarily by risk (the evidence in Beaver and Morse (1978) also supports this view).”