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Fama-French1000871CSMAR19901990199219982001CSMARA19901219A199107031211(Sgnyea='B')2Sgnyea='A'B2t-11231(Book-to-marketratioBM)t430(SIZE)t5t14(1)SIZESmall,Big(2)BM30%(Growth)40%(Neutral)30%(Value)SmallGrowth,SmallNeutral,SmallValue,BigGrowth,BigNeutral,BigValue(Msmvttl)BMSIZE3t430t5t141SAS9.12CSMAR(Mretwd)4SMBHMLSMB=1/3(SmallValue+SmallNeutral+SmallGrowth)1/3(BigValue+BigNeutral+BigGrowth)HML=1/2(SmallValue+BigValue)1/2(SmallGrowth+BigGrowth)5(Rm-Rf)()(Cmretwdtl)FamaE.F.,K.R.French,Commonriskfactorsinthereturnsonstocksandbonds,1993,JournalofFinancialEconomics,Vol.33,3-56FamaE.F.,K.R.French,MultifactorExplanationsofAssetPricingAnomalies,1996,JournalofFinance,vol.51,55-84