Date of Award
Master of Science (MS)
Economics and Finance
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.
Gu, Qian, "Size and Book-to-Market Factors in Returns" (2015). All Graduate Plan B and other Reports. 673.
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