Fama-French Portfolios and Factors
| Name | Fama-French Portfolios and Factors |
| Description | The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy for value. Returns from these portfolios are used to construct the Fama-French Factors. Eugene Fama and Kenneth French showed that their factors capture a statistically significant fraction of the variation in stock returns. The Fama-French data source is Kenneth French’s web site at Dartmouth. |
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| Keyword | book-to-market ratio ; factors ; Fama-French ; market equity ; portfolios ; size ; stock return ; value |
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| Year start | 1926 |
| Year end | Current |
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| Collection | ECO |
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| Access | User Account |
| Find Publications | |
| Publications |
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