This paper surveys the field of asset pricing. The emphasis is on the interplay between
theory and empirical work and on the trade‐off between risk and return. Modern research …

A great deal of academic empirical research has been published on value and growth
investing. We review and update this literature, discuss the various explanations for the …

In the four regions (North America, Europe, Japan, and Asia Pacific) we examine, there are
value premiums in average stock returns that, except for Japan, decrease with size. Except …

This book began as a series of lesson notes for a financial accounting theory course of the
Certified General Accountants' Association of Canada (CGA). The lesson notes grew out of a …

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 …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

Estimates of the cost of equity for industries are imprecise. Standard errors of more than
3.0% per year are typical for both the CAPM and the three-factor model of Fama and French …

For many years, scholars and investment professionals have argued that value strategies
outperform the market. These value strategies call for buying stocks that have low prices …

We study whether the behavior of stock prices, in relation to size and book‐to‐market‐equity
(BE/ME), reflects the behavior of earnings. Consistent with rational pricing, high BE/ME …

The capital asset pricing model (CAPM) of William Sharpe (1964) and John Lintner (1965)
marks the birth of asset pricing theory (resulting in a Nobel Prize for Sharpe in 1990). Before …