Date of Award
5-2015
Degree Type
Thesis
Degree Name
Master of Science (MS)
Department
Economics and Finance
Committee
Not specified
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.
Recommended Citation
Gu, Qian, "Size and Book-to-Market Factors in Returns" (2015). All Graduate Plan B and other Reports, Spring 1920 to Spring 2023. 673.
https://digitalcommons.usu.edu/gradreports/673
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