Notes: Fama, 1972, Risk, Return and Equilibrium: Empirical Tests
The Cross Section of Expected Returns
Fama and French, 1992
Abstract
Tests the relationship between average eturn and risk for NSYE stocks.
Bottom line result
Cannot reject the hypothesis that the pricing of common stocks reflects an attempt by risk-averse investors to hold protfolios that are efficient in terms of expected value and dispersion of return.