Fama French Three Factor Model in U.S: Characteristics, Covariances, and Average Returns: 1929-1997

Author: James Davis, Eugene Fama & Kenneth French

"The value premium in U.S. stocks returns is robust. The positive relation between average return and book-to-market equity (BE/ME) is as strong for 1929-63 as for the subsequent period studied in previous papers. Like others, we also find a size premium in stock returns. Small stocks have higher average returns than big stocks. The size premium is, however, weaker and less reliable than the value premium..."

Journal of Finance, Vol. 55, No. 1, February 2000
Source: http://ssrn.com/abstract=217732

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