Characteristics, Covariances, and Average Returns: 1929 to 1997
发现美国股票回报中的价值溢价在1929至1963年间与后续时期同样显著，且三因子风险模型比特征假说更能解释该溢价。
The value premium in U.S. stock returns is robust. The positive relation between average return and book‐to‐market equity is as strong for 1929 to 1963 as for the subsequent period studied in previous papers. A three‐factor risk model explains the value premium better than the hypothesis that the book‐to‐market characteristic is compensated irrespective of risk loadings.