The Risk and Return from Factors
用统一数据集评估多种因子（市场、规模、过去收益、账面市值比、股息率等）在解释股票收益共同变动中的表现，发现宏观因子效果较差，并验证了主要因子在日本和英国市场的作用。
The ability to identify which factors best capture systematic return covariation is central to applications of multifactor pricing models. This paper uses a common data set to evaluate the performance of various proposed factors in capturing return comovements. Factors associated with the market, size, past return, book-to-market, and dividend yield help explain return comovement on an out-of-sample basis (although they are not necessarily associated with large premiums in average returns). Except for the default premium and the term premium, macroeconomic factors perform poorly. We document regularities in the behavior of the more important factors, and confirm their influence in the Japanese and U.K. markets as well.