Fama, Eugene F., and Kenneth R. French. “Common risk factors in the returns on stocks and bonds.” (1993)

Abstract This paper identifies five common risk factors in the returns on stocks and bonds. There are three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity. There are two bond-market factors, related to maturity and default risks. Stock returns have shared variation due to the stock-market factors, and […]