Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
发现公司规模和账面市值比与股票平均收益高度相关，但收益溢价并非源于与共同因子的联动，而是由公司特征本身解释。
Firm sizes and book-to-market ratios are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that the association between these characteristics and returns arise because the characteristics are proxies for nondiversifiable factor risk. In contrast, the evidence in this article indicates that the return premia on small capitalization and high book-to-market stocks does not arise because of the comovements of these stocks with pervasive factors. It is the characteristics rather than the covariance structure of returns that appear to explain the cross-sectional variation in stock returns.