Characteristics, Covariances, and Average Returns: 1929 to 1997Mudit SETHISeptember, 2025James L. Davis, Eugene F. Fama, Kenneth R. French, 2000Abstract The value premium in U.S. stock returns is robust. The positive relation between average return and book-to-market equity is… Read MoreCharacteristics, Covariances, and Average Returns: 1929 to 1997