By Eugene F. Fama and Kenneth R. French
Understanding volatility is crucial for informed investment decisions. Our paper explores the volatility of the market, size, and value premiums of the Fama-French three-factor model for US equity returns.
13 page PDF
Wednesday, May 9, 2012
Fama/French: "Volatility and Premiums in US Equity Returns"
From Dimensional Fund Advisors Fama/French Forum:
