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1、AmericanFinanceAssociationMultifactorExplanationsofAssetPricingAnomaliesAuthor(s):EugeneF.FamaandKennethR.FrencHReviewedwork(s):Source:TheJournalofFinance,Vol.51,No.1(Mar.,1996),pp.55-84Publishedby:WileyfortheAmericanFinanceAssociationStableURL:http://www.jstor.org/stable/2329302.Ac
2、cessed:23/01/201316:50YouruseoftheJSTORarchiveindicatesyouracceptanceoftheTerms&ConditionsofUse,availableat.http://www.jstor.org/page/info/about/policies/terms.jsp.JSTORisanot-for-profitservicethathelpsscholars,researchers,andstudentsdiscover,use,andbuilduponawiderangeofcontentinatr
3、usteddigitalarchive.Weuseinformationtechnologyandtoolstoincreaseproductivityandfacilitatenewformsofscholarship.FormoreinformationaboutJSTOR,pleasecontactsupport@jstor.org..WileyandAmericanFinanceAssociationarecollaboratingwithJSTORtodigitize,preserveandextendaccesstoTheJournalofFina
4、nce.http://www.jstor.orgThiscontentdownloadedonWed,23Jan201316:50:33PMAllusesubjecttoJSTORTermsandConditionsTHEJOURNALOFFINANCE.VOL.LI,NO.1*MARCH1996MultifactorExplanationsofAssetPricingAnomaliesEUGENEF.FAMAandKENNETHR.FRENCH*ABSTRACTPreviousworkshowsthataveragereturnsoncommonstocks
5、arerelatedtofirmcharacteristicslikesize,earnings/price,cashflow/price,book-to-marketequity,pastsalesgrowth,long-termpastreturn,andshort-termpastreturn.BecausethesepatternsinaveragereturnsapparentlyarenotexplainedbytheCAPM,theyarecalledanomalies.Wefindthat,exceptforthecontinuationofs
6、hort-termreturns,theanomalieslargelydisappearinathree-factormodel.OurresultsareconsistentwithrationalICAPMorAPTassetpricing,butwealsoconsiderirrationalpricinganddataproblemsaspossibleexplanations.RESEARCHERSHAVEIDENTIFIEDMANYpatternsinaveragestockreturns.Forex-ample,DeBondtandThaler
7、(1985)findareversalinlong-termreturns;stockswithlowlong-termpastreturnstendtohavehigherfuturereturns.Incon-trast,JegadeeshandTitman(1993)findthatshort-termreturnstendtocontinue;stockswithhigherreturnsintheprevioustwelvemonthstendtohavehigherfuturereturns.Othersshowthatafirm'saverage
8、stockreturnisrelate
