Fama and French three-factor model

Fama, Eugene F. and French, Kenneth R. and the the original study.

Articles

 * The Dimensions of Stock Returns Truman A. Clark, DFA (September 2007)
 * Small Cap Growth Indexing and the Multifactor Threestep William Bernstein, EF (April 1999)
 * Factor Rotation William Bernstein, EF (Summer 2000)
 * Rolling Your Own: Three Factor Analysis William Bernstein EF (Winter 2001)
 * The Cross-Section of Expected Stock Returns: A Tenth Anniversary Reflection William Bernstein, EF (Summer 2002)
 * Asset Management: Engineering Portfolios for Better Returns Eugene F. Fama Jr. (May 1998)

Papers

 * Davis, James L., Fama, Eugene F. and French, Kenneth R., "Characteristics, Covariances, and Average Returns: 1929-1997". Journal of Finance, Vol. 55, No. 1, February 2000. Available at SSRN: http://ssrn.com/abstract=217732
 * Dimson, Elroy, Nagel, Stefan and Quigley, Garrett, "Capturing the Value Premium in the U.K." 1955-2001(January 2003). Available at SSRN: http://ssrn.com/abstract=376340 or DOI: 10.2139/ssrn.10.2139/ssrn.376340
 * Fama, Eugene F. and French, Kenneth R., "Value Versus Growth: The International Evidence" (August 1997). Available at SSRN: http://ssrn.com/abstract=2358 or DOI: 10.2139/ssrn.10.2139/ssrn.2358
 * Fama, Eugene F. and French, Kenneth R., "The Anatomy of Value and Growth Stock Returns "(August 2007). CRSP Working Paper. Available at SSRN: http://ssrn.com/abstract=806664
 * Fama, Eugene F. and French, Kenneth R., "Migration" (February 2007). CRSP Working Paper No. 614. Available at SSRN: http://ssrn.com/abstract=926556