Common risk factors in the returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · 1993 · Journal of Financial Economics

BeginnerLFTEmpirical

Market, size (SMB) and value (HML) factors. The baseline any equity signal must beat or neutralise.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: LFT
Data needed: Daily bars Set what data you have
Themes: Factors & momentum Risk & portfolio
Assets: Equities
Market: US

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Cite

@article{fama1993common,
  author = {Fama, Eugene F. and French, Kenneth R.},
  title = {{Common risk factors in the returns on stocks and bonds}},
  journal = {Journal of Financial Economics},
  year = {1993},
  doi = {10.1016/0304-405x(93)90023-5}
}

Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(93)90023-5