The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
AFA members can log in to view full-text articles below.
View past issues
Search the Journal of Finance:
Search results: 2.
On The Robustness of Size and Book‐to‐Market in Cross‐Sectional Regressions
Published: 04/18/2012 | DOI: 10.1111/j.1540-6261.1997.tb01113.x
PETER J. KNEZ, MARK J. READY
We use a robust regression estimator to analyze the risk premia on size and book‐to‐market. We find that the risk premium on size that was estimated by Fama and French (1992) completely disappears when the 1 percent most extreme observations are trimmed each month. We also show that the negative average of the monthly size coefficients reported by Fama and French can be entirely explained by the 16 months with the most extreme coefficients. We argue that further investigation of these results could lead to an understanding of the economic forces underlying the size effect, and may also yield important insights into how firms grow.
Explorations Into Factors Explaining Money Market Returns
Published: 12/01/1994 | DOI: 10.1111/j.1540-6261.1994.tb04784.x
PETER J. KNEZ, ROBERT LITTERMAN, JOSÉ SCHEINKMAN
In this article, we measure and interpret the common “factors” that describe money market returns. Results are presented for both three‐and four‐factor models. We find that the three‐factor model explains, on average, 86 percent of the total variation in most money market returns while the four‐factor model explains, on average, 90 percent of this variation. Using mimicking portfolios, we provide an interpretation of the systematic risks represented by these factors.