The face that small firms can suffer a long earnings depression that bypasses big firms suggests that size is associated with a common risk factor that might explain the negative relation between size and average return.Similarly,the relation between book-to-market equity and earnings suggests that relative profitability is the source of a common risk factor in return that might explain the positive relation between BE/ME and average return.Measuring the common variation in returns associated with size and BE/ME is a major task of this paper.