Concepedia

Factor Premia

Factor Premia is the excess return earned by a financial asset or portfolio attributable to exposure to a specific, systematic risk factor that commands a positive expected return in equilibrium, distinguishing it from returns generated by market exposure or idiosyncratic effects.

117

Publications

12.3K

Citations

205

Authors

161

Institutions

Publications per year

2017–2026

45

Parents

Publications

117

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

Kent Daniel, Sheridan Titman · The Journal of Finance · 1997 · 1.7K citations

, , +17

Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets

James J. Claus, Jacob K. Thomas · The Journal of Finance · 2001 · 1.6K citations

, , +12

Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1

Michael J. Brennan, Tarun Chordia, Avanidhar Subrahmanyam · Journal of Financial Economics · 1998 · 1.3K citations

, , +13

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

Kent Daniel, Sheridan Titman · The Journal of Finance · 1997 · 828 citations · Full text

, , +17

An Augmented <i>q</i> -Factor Model with Expected Growth

Kewei Hou, Haitao Mo, Xue Chen et al. · European Finance Review · 2020 · 467 citations · Full text

, , +17

1–5 of 117

Authors

205

  1. KD
    Kent Daniel

    National Bureau of Economic Research, United States

    5 publications · 3.3K citations

    5

    h-index

  2. VK
    Vitali Kalesnik

    Healthcentric Advisors, United States

    5 publications · 202 citations

    5

    h-index

  3. ST
    Sheridan Titman

    The University of Texas at Austin, United States

    4 publications · 3.3K citations

    4

    h-index

  4. DR
    Donald R. Davis

    Columbia University, United States

    3 publications · 146 citations

    3

    h-index

  5. AS
    Avanidhar Subrahmanyam

    University of California, Los Angeles, United States

    3 publications · 1.4K citations

    3

    h-index

1–5 of 205

Institutions

161

  1. National Bureau of Economic Research

    Cambridge, United States

    12 h-index

    19 publications

    3.4K citations

  2. University of Chicago

    Chicago, United States

    7 h-index

    8 publications

    1.2K citations

  3. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    4 h-index

    6 publications

    202 citations

  4. University of California, Los Angeles

    Los Angeles, United States

    4 h-index

    5 publications

    2.8K citations

  5. Capital University

    Bexley, United States

    4 h-index

    8 publications

    242 citations

  6. University of Illinois Chicago

    Chicago, United States

    4 h-index

    6 publications

    3.4K citations

  7. Yale University

    New Haven, United States

    3 h-index

    4 publications

    289 citations

  8. Center for Economic and Policy Research

    Washington D.C., United States

    3 h-index

    3 publications

    75 citations

1–8 of 161

Venues

  1. SSRN Electronic Journal

    Repository · 42 publications · 1.1K citations

    18

    h-index

  2. The Journal of Finance

    6 publications · 5.1K citations

    6

    h-index

  3. The Journal of Portfolio Management

    JPM · 6 publications · 228 citations

    6

    h-index

  4. Review of Financial Studies

    5 publications · 773 citations

    5

    h-index

  5. Journal of Financial and Quantitative Analysis

    JFQA · 5 publications · 97 citations

    5

    h-index

1–5