The Value Premium and the CAPM
Year: 2006
Type: article
Abstract: ABSTRACT We examine (1) how value premiums vary with firm size, (2) whether the CAPM explains value premiums, and (3) whether, in general, average returns compensate β in the way predicted by the CAPM. Loughran's (1997) evidence for a weak value premium among large firms is special to 1963 to 1995, U.S. stocks, and the book‐to‐market value‐growth indicator. Ang and Chen's (2005) evidence that the CAPM can explain U.S. value premiums is special to 1926 to 1963. The CAPM's more general problem is that variation in β unrelated to size and the value‐growth characteristic goes unrewarded throughout 1926 to 2004.
Source: The Journal of Finance
Authors: EUGENE F. FAMA, KENNETH R. FRENCH
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3124117111