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Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, Michael - 2013

This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) – the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the...

Persistent link: https://www.econbiz.de/10010293924

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What do the Fama-French factors add to C-CAPM?

Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - In: Journal of empirical finance 22 (2013), pp. 113-127

Persistent link: https://www.econbiz.de/10009768417

What do the Fama-French factors add to CCAPM?

Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - 2013

Persistent link: https://www.econbiz.de/10009744151

What do the Fama-French Factors add to C-CAPM?

Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - 2013 - Revised March 2013

This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the SMB...

Persistent link: https://www.econbiz.de/10009731215

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