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 In
this Step we provide you data on the risk and return
characteristics of both size and value subsets of
markets around the world. For some indexes, we have
data going back to 1926.
Program Overview
Three risk factors documented by
Eugene Fama, Kenneth French, and Jim Davis. They
identified the 77 year historical annual average
returns of these risk factors. These factors are
used in a multiple regression analysis to risk adjust
returns of other investments and to establish the
cost of capital of firms who sell their stock. Remember
that a firm's cost of capital is equal to the investor's
expected return.
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