Journal ArticleDOI
Industry costs of equity
Eugene F. Fama,Kenneth R. French +1 more
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TLDR
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.About:
This article is published in Journal of Financial Economics.The article was published on 1997-02-01. It has received 6064 citations till now. The article focuses on the topics: Equity risk & Residual income valuation.read more
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Journal ArticleDOI
Political connections and the cost of equity capital
TL;DR: Using propensity score matching models, it is found that politically connected firms enjoy a lower cost of equity capital than their non-connected peers, and that political connections are more valuable for firms with stronger ties to political power.
Journal ArticleDOI
Financial fraud, director reputation, and shareholder wealth
Eliezer M. Fich,Anil Shivdasani +1 more
TL;DR: This article investigated the reputational impact of financial fraud for outside directors based on a sample of firms facing shareholder class action lawsuits and found that outside directors do not face abnormal turnover on the board of the sued firm but experience a significant decline in other board seats held.
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Corporate Governance, Idiosyncratic Risk, and Information Flow
TL;DR: This paper studied the relationship between corporate governance policy and idiosyncratic risk in stock returns and found that firms with fewer anti-takeover provisions display higher levels of idiosyncratic risks, trading activity, and more information about future earnings in stock prices.
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Are the Fama and French Factors Global or Country Specific
TL;DR: This article examined whether country-specific or global versions of Fama and French's three-factor model better explain time-series variation in international stock returns and found that domestic factor models explain much more time series variation in returns and generally have lower pricing errors than the world factor model.
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The Role of the Business Press as an Information Intermediary
TL;DR: This paper investigated whether the business press serves as an information intermediary and found that greater press coverage reduces information asymmetry (i.e., lower spreads and greater depth) around earnings announcements, with broad dissemination of information having a bigger impact than the quantity or quality of press-generated information.
References
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Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Journal ArticleDOI
The Cross‐Section of Expected Stock Returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, Bhandari et al. found that the relationship between market/3 and average return is flat, even when 3 is the only explanatory variable, and when the tests allow for variation in 3 that is unrelated to size.
Book ChapterDOI
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
Journal ArticleDOI
The arbitrage theory of capital asset pricing
TL;DR: Ebsco as mentioned in this paper examines the arbitrage model of capital asset pricing as an alternative to the mean variance pricing model introduced by Sharpe, Lintner and Treynor.