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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
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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
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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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What Do the Fama-French Factors Add to C-CAPM?
Abhakorn, Pongrapeeporn - 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/10013081970
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What Do the Fama-French Factors Add to C-CAPM?
Abhakorn, Pongrapeeporn - 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/10013082959
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What Do the Fama-French Factors Add to C-CAPM?
Abhakorn, Pongrapeeporn - 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/10013080933
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A statistical comparison of the CAPM to the Fama-French Three Factor Model and the Cahart's Model
Bello, Zakri - In: Global journal of finance and banking issues 2 (2008) 2, pp. 14-24
Persistent link: https://www.econbiz.de/10003853683
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Asset pricing, the Fama-French factor model and the implications of Quantile Regression analysis
Allen, David E.; Singh, Abhay Kumar; Powell, Robert - 2009
Persistent link: https://www.econbiz.de/10008667282
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Ambiguity, learning, and asset returns
Ju, Nengjiu; Miao, Jianjun - 2007
Persistent link: https://www.econbiz.de/10003679079
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Ambiguity, learning, and asset returns
Ju, Nengjiu; Miao, Jianjun - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 2, pp. 559-591
Persistent link: https://www.econbiz.de/10009535006