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What do the Fama-French factors add to CCAPM?

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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...

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