The Extended Fama-French Three Factor Model : Revisited

Tests Of The Fama And French Three Factor Model In Iran

The Capital Asset Pricing Model and the Three Factor Model of Fama and French Revisited in the Case of France

Size and book to market ratio are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that these effects are proxies for factors of risk. In this study, we try to test the three factor model of Fama and French and the Capital Asset Pricing Model on French Stock Market. We use returns on the Fama and French six portfolios sorted by size and book to mark...

Intertemporal Capital Asset Pricing and the Fama-French Three-Factor Model∗

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 valuation are developed. The model suggests that the prices of certain portfolios that are relate...

test of the fama-french three-factor model in tehran stock exchange

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tests of the fama and french three factor model in iran