Abstract
ABSTRACT Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cash flow/price, book‐to‐market equity, past sales growth, long‐term past return, and short‐term past return. Because these patterns in average returns apparently are not explained by the CAPM, they are called anomalies. We find that, except for the continuation of short‐term returns, the anomalies largely disappear in a three‐factor model. Our results are consistent with rational ICAPM or APT asset pricing, but we also consider irrational pricing and data problems as possible explanations.
Keywords
Capital asset pricing modelEconomicsFinancial economicsEarnings growthEquity (law)EarningsCash flowEconometricsFinance
Affiliated Institutions
Related Publications
Further Evidence On Investor Overreaction and Stock Market Seasonality
ABSTRACT In a previous paper, we found systematic price reversals for stocks that experience extreme long‐term gains or losses: Past losers significantly outperform past winners...
The Conditional CAPM and the Cross-Section of Expected Returns
Most empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value-weighted portfolio of all stocks is a proxy for the return...
Noise Trader Risk in Financial Markets
The authors present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn hig...
Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing
Prior research reveals that the accrual component of profitability is less persistent than the cash flow component, and that investors fail to fully appreciate their differing i...
Another Look at the Cross‐section of Expected Stock Returns
ABSTRACT Our examination of the cross‐section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk ...
Publication Info
- Year
- 1996
- Type
- article
- Volume
- 51
- Issue
- 1
- Pages
- 55-84
- Citations
- 6416
- Access
- Closed
External Links
Social Impact
Altmetric
PlumX Metrics
Social media, news, blog, policy document mentions
Citation Metrics
6416
OpenAlex
Cite This
Eugene F. Fama,
Kenneth R. French
(1996).
Multifactor Explanations of Asset Pricing Anomalies.
The Journal of Finance
, 51
(1)
, 55-84.
https://doi.org/10.1111/j.1540-6261.1996.tb05202.x
Identifiers
- DOI
- 10.1111/j.1540-6261.1996.tb05202.x