Common risk factors in the returns on stocks and bonds
Publication type: Journal Article
Publication date: 1993-02-01
scimago Q1
wos Q1
SJR: 17.669
CiteScore: 22.0
Impact factor: 12.0
ISSN: 0304405X, 18792774
Strategy and Management
Economics and Econometrics
Finance
Accounting
Abstract
This paper identities 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 they are linked to bond returns through shared variation in the bond-market factors. Except for low-grade corporates. the bond-market factors capture the common variation in bond returns. Most important. the five factors seem to explain average returns on stocks and bonds.
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17k
Total citations:
17328
Citations from 2024:
1934
(11.17%)
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GOST
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Fama E. F., French K. R. Common risk factors in the returns on stocks and bonds // Journal of Financial Economics. 1993. Vol. 33. No. 1. pp. 3-56.
GOST all authors (up to 50)
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Fama E. F., French K. R. Common risk factors in the returns on stocks and bonds // Journal of Financial Economics. 1993. Vol. 33. No. 1. pp. 3-56.
Cite this
RIS
Copy
TY - JOUR
DO - 10.1016/0304-405X(93)90023-5
UR - https://doi.org/10.1016/0304-405X(93)90023-5
TI - Common risk factors in the returns on stocks and bonds
T2 - Journal of Financial Economics
AU - Fama, Eugene F
AU - French, Kenneth R
PY - 1993
DA - 1993/02/01
PB - Elsevier
SP - 3-56
IS - 1
VL - 33
SN - 0304-405X
SN - 1879-2774
ER -
Cite this
BibTex (up to 50 authors)
Copy
@article{1993_Fama,
author = {Eugene F Fama and Kenneth R French},
title = {Common risk factors in the returns on stocks and bonds},
journal = {Journal of Financial Economics},
year = {1993},
volume = {33},
publisher = {Elsevier},
month = {feb},
url = {https://doi.org/10.1016/0304-405X(93)90023-5},
number = {1},
pages = {3--56},
doi = {10.1016/0304-405X(93)90023-5}
}
Cite this
MLA
Copy
Fama, Eugene F., and Kenneth R French. “Common risk factors in the returns on stocks and bonds.” Journal of Financial Economics, vol. 33, no. 1, Feb. 1993, pp. 3-56. https://doi.org/10.1016/0304-405X(93)90023-5.