Kenneth French

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Abstract
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.
Research Area
Financial Markets
Household Finance
Financial Institutions
Law and Finance
Keywords
innovation, technology spillover, endogenous growth, long-run risk, international finance, utility functions, model selection, parameter elicitation, granger causality, quantile causality, multi-layer network, network combination, temperature shocks, long-run growth, asset prices, welfare costs, adaptation, liquidity premium, liquidity risk, tips, inflation swaps, tips-treasury puzzle, asset pricing, cross-section of stock returns, predictability, factor timing, time series momentum, anomalies, firm networks, natural experiment, executives' compensation, interlocking directorates, corporate social responsibility, esg rating agencies, sustainable investments, socially responsible investing, esg, portfolio choice
JEL Classification
E22, F31, G12, O30, O41, C15, C35, C49, C51, C52, C58, C31, C32, G01, E30, Q0, H63, E44, D81, G17, D57, G14, G32, L14, G11, G23, G59, M14, Q5
Working Paper References
Topic
Saving and Borrowing
Macro Finance
Investor Behaviour
Publication Type
Research Data
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Attribution-ShareAlike 4.0 International
Except where otherwise noted, this item's license is described as Attribution-ShareAlike 4.0 International