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Results 1 - 10
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15,184
Fama-French Three-Factor Model Betas
, 2011
"... A three-factor model regime has replaced the CAPM regime in academic research. The CAPM regime may be said to have ended with Fama and French’s (1992) finding that market beta does not predict return. Strangely, the three-factor model has not received scrutiny relative to the ability of the model to ..."
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A three-factor model regime has replaced the CAPM regime in academic research. The CAPM regime may be said to have ended with Fama and French’s (1992) finding that market beta does not predict return. Strangely, the three-factor model has not received scrutiny relative to the ability of the model
Intertemporal Capital Asset Pricing and the Fama-French Three-Factor Model
, 2001
"... Characterizing the instantaneous investment opportunity set by the real interest rate and the maximum Sharpe ratio, a simple model of time varying investment opportunities is posited in which these two variables follow correlated Ornstein-Uhlenbeck processes, and the implications for stock and bond ..."
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Cited by 8 (0 self)
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valuation are developed. The model suggests that the prices of certain portfolios that are related to the Fama-French HML and SMB hedge portfolio returns will carry information about investment opportunities. This provides a justification for the risk premia that have been found to be associated
REVISITING FAMA FRENCH THREE-FACTOR MODEL IN INDIAN STOCK MARKET
"... anomaliesfor CAPM Fama French (1992,1996, and 2004) demonstrated the inability ofCAPM's beta to explain the cross-sectional stock market returns by introducing two other factors i.e. size and value. In this study, the Capital Asset Pricing Model and Fama French Model have been examined by takin ..."
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anomaliesfor CAPM Fama French (1992,1996, and 2004) demonstrated the inability ofCAPM's beta to explain the cross-sectional stock market returns by introducing two other factors i.e. size and value. In this study, the Capital Asset Pricing Model and Fama French Model have been examined
A Comparative Evaluation of the Predictability of Fama-French Three- Factor Model and Chen Model in Explaining the Stock Returns of Tehran
"... Abstract Investors ought to select among different choices and various opportunities which are based on different characteristics and returns. The ultimate goal of most stakeholders, managers and other decision makers of the stock markets are acquiring expected return which is accompanied by risk. T ..."
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. This is the reason for the necessity of the balance between risk and return. It is then required to design a model which can satisfactory predict the expected return. The present paper intends to use the two models of three-factor Fama- French and Chen model to contribute the decision makers in investigating
Level: C-thesis in economics, 15p
"... Empirical tests of the Capital asset-pricing model and Fama-French three-factor model on Chinese stock market ..."
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Empirical tests of the Capital asset-pricing model and Fama-French three-factor model on Chinese stock market
Tests of the Fama and French Model in India
, 2001
"... This study empirically examines the Fama-French three-factor model of stock returns for India. We find evidence for pervasive market, size, and book-to-market factors in Indian stock returns. We find that cross-sectional mean returns are explained by exposures to these three factors, and not by the ..."
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This study empirically examines the Fama-French three-factor model of stock returns for India. We find evidence for pervasive market, size, and book-to-market factors in Indian stock returns. We find that cross-sectional mean returns are explained by exposures to these three factors
The Conditional Relation between Fama-French Betas and Return
, 2008
"... According to asset pricing theory, in expectation there is a positive reward for taking risks. However, using realized returns, this relation is frequently reversed. In order to take this into account, we apply a conditional approach to the predominant model in asset pricing, the Fama-French three-f ..."
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Cited by 2 (0 self)
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According to asset pricing theory, in expectation there is a positive reward for taking risks. However, using realized returns, this relation is frequently reversed. In order to take this into account, we apply a conditional approach to the predominant model in asset pricing, the Fama-French three-factor
The Performance of Initial Public Offerings Conditioning on Issue Information: The Case of Taiwan
, 2001
"... This study employs the Fama-French three-factor model as well as Jensen’s alpha to measure the long-run performance of IPOs in Taiwan. Our results show that the long-run per-formance of IPOs based on market adjusted returns or returns adjusted by market model is poor. However, the long-run performan ..."
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Cited by 1 (0 self)
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This study employs the Fama-French three-factor model as well as Jensen’s alpha to measure the long-run performance of IPOs in Taiwan. Our results show that the long-run per-formance of IPOs based on market adjusted returns or returns adjusted by market model is poor. However, the long
Comparing Value and Growth Mutual Performance: Bias from the Fama-French HML Factor
"... We argue that loadings on the HML factor cause the Fama-French three-factor model to provide a downward bias of the performance of value portfolios. It is shown that value dominates growth in comparisons of realized risk and returns. When using only the market and the size factors to adjust returns, ..."
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We argue that loadings on the HML factor cause the Fama-French three-factor model to provide a downward bias of the performance of value portfolios. It is shown that value dominates growth in comparisons of realized risk and returns. When using only the market and the size factors to adjust returns
Results 1 - 10
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15,184
