This is an article by Eugene Fama. In addition to being one of the great financial researchers of all time, Fama is one of the principals of Dimensional Fund Advisers (DFA). DFA is one of the most highly regarded investment firms in the world. This is a great explanation of the Fama/French 3-factor model (size, value, and market). I didn't really understand the 3-factor model until I read this article. http://www.tamasset.com/pdf/multifactor_investing.pdf.
