Date of Award

2015

Degree Type

Thesis

Degree Name

Master of Science (MS)

Department

Economics and Finance

Abstract

Fama and French (Multifactor Explanations of Asset Pricing Anomalies, The Journal of Finance, March 1996) showed that average returns on common stocks are related to firm characteristics like size, earnings/price, cash flow/price, book-to-market equity, past sales growth, long-term past return, and short-term past return. These factors are considered anomalies because they are not included in theoretical models like the CAPM. In replicating their analyses, I find that firm size and the book-to-market of equity explain a large portion of the average excess returns on common stocks.

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