What Fama and French’s Latest Research Doesn’t Tell Us
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چکیده
The duo of Fama and French is most famous for their 1992 and 1993 papers documenting strong historical value and size effects. (Fama is also famous – or infamous, depending on your perspective – for his association with the efficient market hypothesis.) The core observation of Fama and French’s seminal papers was that the returns on small-company and value stocks – those with high book-to-market value ratios – have historically outperformed the market to a greater degree than can be explained by the capital asset pricing model (CAPM).
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