caa a22 4500 388047771 CHVBK 20180915123503.0 cr unu---uuuuu 161130e199806 xx s 000 0 eng 10.2307/2331306 doi S0022109000000909 pii (NATIONALLICENCE)cambridge-10.2307/2331306 The Risk and Return from Factors [Elektronische Daten] The ability to identify which factors best capture systematic return covariation is central to applications of multifactor pricing models. This paper uses a common data set to evaluate the performance of various proposed factors in capturing return comovements. Factors associated with the market, size, past return, book-to-market, and dividend yield help explain return comovement on an out-of-sample basis (although they are not necessarily associated with large premiums in average returns). Except for the default premium and the term premium, macroeconomic factors perform poorly. We document regularities in the behavior of the more important factors, and confirm their influence in the Japanese and U.K. markets as well. Copyright © School of Business Administration, University of Washington 1998 Chan Louis K. C. Department of Finance, College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Champaign, IL 61820 Karceski Jason Department of Finance, Insurance and Real Estate, School of Business Administration, University of Florida, Gainesville, FL 32611. Lakonishok Josef Department of Finance, College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Champaign, IL 61820 Journal of Financial and Quantitative Analysis Cambridge University Press 33/2(1998-06), 159-188 0022-1090 33:2<159 1998 33 JFQ https://doi.org/10.2307/2331306 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331306 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Chan Louis K. C. Department of Finance, College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Champaign, IL 61820 NATIONALLICENCE 700 1- Karceski Jason Department of Finance, Insurance and Real Estate, School of Business Administration, University of Florida, Gainesville, FL 32611 NATIONALLICENCE 700 1- Lakonishok Josef Department of Finance, College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Champaign, IL 61820 NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 33/2(1998-06), 159-188 0022-1090 33:2<159 1998 33 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence SWISSBIB 076114872 BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge