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Common risk factors in the returns on stocks and bonds, Fama and French 1993 can be found here.

This paper is a generalization to the earlier 1992 paper to cover bonds: incl gov and corporate bonds.

  • Equity market return
  • SMB
  • HML
  • TERM: a term premium for bonds
  • DEF: a credit premium

Key results:

  • stocks are more sensitive to TERM (rate factor) and DEF (credit premium) than bonds
  • bonds are more correlated to these two factors than stocks.