K
Kenneth R. French
Researcher at Dartmouth College
Publications - 110
Citations - 75371
Kenneth R. French is an academic researcher from Dartmouth College. The author has contributed to research in topics: Capital asset pricing model & Equity (finance). The author has an hindex of 66, co-authored 110 publications receiving 71742 citations. Previous affiliations of Kenneth R. French include Yale University & Massachusetts Institute of Technology.
Papers
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Journal ArticleDOI
Multifactor Explanations of Asset Pricing Anomalies
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors show that many of the CAPM average-return anomalies are related, and they are captured by the three-factor model in Fama and French (FF 1993).
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Industry costs of equity
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, the authors show that standard errors of more than 3.0% per year are typical for both the CAPM and the three-factor model of Fama and French (1993), and these large standard errors are the result of uncertainty about true factor risk premiums and imprecise estimates of the loadings of industries on the risk factors.
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Expected stock returns and volatility
TL;DR: In this article, the authors examined the relation between stock returns and stock market volatility and found that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns.
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Business conditions and expected returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: For example, this paper found that expected returns on common stocks and long-term bonds contain a term or maturity premium that has a clear business-cycle pattern (low near peaks, high near troughs).
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Dividend yields and expected stock returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the power of dividend yields to forecast stock returns, measured by regression R2, increases with the return horizon, and the authors offer a two-part explanation: high autocorrelation causes the variance of expected returns to grow faster than the return-horizon.