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1、JournalofFinancialEconomics33(1993)3-56.North-HollandCommonriskfactorsinthereturnsonstocksandbonds*EugeneF.FamaandKennethR.FrenchUnirrrsit.v01Chicayo.Chiccup.I.L60637,C;S;LReceivedJuly1992.finalversionreceivedSeptember1992Thispaperidentitiesfivecommonriskfactorsinthereturnsonstocksandbonds.Therear
2、ethreestock-marketfactors:anoverallmarketfactorandfactorsrelatedtofirmsizeandbook-to-marketequity.Therearetwobond-marketfactors.relatedtomaturityanddefaultrisks.Stockreturnshavesharedvariationduetothestock-marketfactors,andtheyarelinkedtobondreturnsthroughsharedvariationinthebond-marketfactors.Exc
3、eptforlow-gradecorporates.thebond-marketfactorscapturethecommonvariationinbondreturns.Mostimportant.thefivefactorsseemtoexplainaveragereturnsonstocksandbonds.1.IntroductionThecross-sectionofaveragereturnsonU.S.commonstocksshowslittlerelationtoeitherthemarket/IsoftheSharpe(1964tLintner(1965)asset-p
4、ricingmodelortheconsumptionpsoftheintertemporalasset-pricingmodelofBreeden(1979)andothers.[See,forexample,Reinganum(1981)andBreeden,Gibbons,andLitzenberger(1989).]Ontheotherhand,variablesthathavenospecialstandinginasset-pricingtheoryshowreliablepowertoexplainthecross-sectionofaveragereturns.Thelis
5、tofempiricallydeterminedaverage-returnvariablesincludessize(ME,stockpricetimesnumberofshares),leverage,earnings/price(E/P),andbook-to-marketequity(theratioofthebookvalueofafirmscommonstock,BE,toitsmarketvalue,ME).[SeeBanz(1981).Bhandari(1988).Basu(1983).andRosenberg,Reid,andLanstein(19853.1Corresp
6、ondenceto:EugeneF.Fama.GraduateSchoolofBusiness.UniversityofChicago,1101East58thStreet.Chicago.IL60637,USA.*ThecommentsofDavidBooth,JohnCochrane.Sai-fuChen,WayneFerson.JosefLakonishok.MarkMitchell,G.WilliamSchwert.JayShanken.andRexSinquefieldaregratefullyacknowledged.ThisresearchissupportedbytheNa
7、tionalScienceFoundation(Fama)andtheCenterforResearchinSecuritiesPrices(French).030%405X.93.S05.00C1993-ElsevierSciencePublishersB.V.Ailrightsreserved4E.F.FumaandK.R.French.Commonriskf&runinr~ockandbondremrnsFamaa
