Can book-to-market, size and momentum be risk factors that predict economic growth?

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 6,381 citations

The Cross-Section of Expected Stock Returns

1992 • 5,405 citations

Size and Book‐to‐Market Factors in Earnings and Returns

1995 • 3,145 citations

Stock Returns, Real Activity, Inflation, and Money

1981 • 2,625 citations

Value versus Growth: The International Evidence

1998 • 2,126 citations

International Momentum Strategies

1998 • 1,862 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 1,530 citations

Characteristics, Covariances, and Average Returns: 1929 to 1997

2000 • 1,194 citations

Size and Book-to-Market Factors in Earnings and Returns

1995 • 1,045 citations

Multifactor models do not explain deviations from the CAPM

1995 • 586 citations

Characteristics, Covariances, and Average Returns: 1929-1997

1998 • 422 citations

On the Predictability of Common Stock Returns: World-Wide Evidence

1999 • 141 citations

The structure of international stock returns and the integration of capital markets

1995 • 141 citations

The Power of Past Stock Returns to Explain Future Stock Returns

1995 • 78 citations

Some international evidence on stock prices as leading indicators of economic activity

2000 • 72 citations