自己先顶一下，有篇英文文章的文献是这样写的。We examine the relation between stock returns, measures of risk, and several non-risk security characteristics, including the book-to-market ratio, firm size, the stock price, the dividend yield, and lagged returns. Our primary objective is to determine whether non-risk characteristics have marginal explanatory power relative to the arbitrage pricing theory benchmark, with factors determined using, in turn, the Connor and Korajczyk (CK; 1988) and the Fama and French (FF; 1993b) approaches. Fama–MacBeth-type regressions using risk adjusted returns provide evidence of return momentum, size, and book-to-market effects, together with a significant and negative relation between returns and trading volume, even after accounting for the CK factors. When the analysis is repeated using the FF factors, we find that the size and book-to-market effects are attenuated, while the momentum and trading volume effects persist. In addition, Nasdaq stocks show significant underperformance after adjusting for risk using either method.
我大概翻译如下，请朋友们更正。

我们研究了股票收益、风险测量、 一些非风险的安全特征之间的关系，包括净值市价比、企业规模、股票价格、股息生息率和延迟收益。我们的主要目标是确定相对于套利定价理论基准（由康纳和Korajczyk (CK; 1988)以及法玛和French (FF; 1993b)因素轮流决定）而言，非风险特征是否有边际解释力。

即使考虑到CK因素，应用风险调整收益的Fama–MacBeth式回归仍为回报势头、规模、净值市值比效应，以及一个重要且消极的回报与交易量之间的关系提供了证据。当反复利用FF因素进行分析后，我们发现回报规模和净值市值比效应逐渐减弱，同时，回报势头和交易量效应保持不变。另外，在使用任何一种方式进行风险调整后，纳斯达克股票显示出了新股弱势。