Fama, Eugene F. and Kenneth R. French, "Multifactor Explanations of Asset Pricing Anomalies", Journal of Finance, Vol. 51, No. 1, (March 1996), pp. 55-84.

Abstract: Previous work shows that the 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. Because these patterns in average returns apparently are not explained by the CAPM, they are called anomalies. We find that, except for the continuation of short-term returns, the anomalies largely disappear in a three-factor model. Our results are consistent with rational CAPM or APT asset pricing, but we also consider irrational pricing and data problems as possible explanations.

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