Relevant bibliographies by topics / Fama and French three-factor model

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Academic literature on the topic 'Fama and French three-factor model'

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Published: 4 June 2021
Last updated: 7 February 2022

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Journal articles on the topic "Fama and French three-factor model"

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Saputra, Dede Irawan, and Umi Murtini. "PERBANDINGAN FAMA AND FRENCH THREE FACTOR . MODEL DENGAN CAPITAL ASSET PHCING MODEL." Jurnal Riset Akuntansi dan Keuangan 4, no. 2 (August 1, 2008): 132. http://dx.doi.org/10.21460/jrak.2008.42.148.

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Penelitian ini bertujuan untuk menguji kemompuon Fama and Freneh three factor model dalom menjelaskan retum jortofolio dibandingkan dengan CAPM. Data yang digmakm pda penelitiot ini adatah d*a sekunder dari perusahaan yang masuk dalam LQ-45 dari periede Februari 2000 sampai Juli 2007- Sampel yang digunakan adaleh perusahaan yang selalu masuk datam Lg-45 selona periode penelitian- Hasil penelitian menwtjukkan batma betdasukmtnilai adjusted P dapat disimpulkan bahwa CAPM lebih mampu menjelaskot return partofolia dibandingkan dengan Fama and French three factor model Hal ini dryot dilihat dari nilai adjusted N CAPM yang lebih besar dibanding nilai adjusted,F Fama and Frqnch three factor modelKeywords: z Market, Size, BEIME, dan Adjusted R2
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Sehrawat, Neeraj, Amit Kumar, Narander Kumar Nigam, Kirtivardhan Singh, and Khushi Goyal. "Test of capital market integration using Fama-French three-factor model: empirical evidence from India." Investment Management and Financial Innovations 17, no. 2 (May 22, 2020): 113–27. http://dx.doi.org/10.21511/imfi.17(2).2020.10.

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Integration or segmentation of markets determines whether substantial advantages in risk reduction can be attained through portfolio diversification in foreign securities. In an integrated market, investors face risk from country-specific factors and factors, which are common to all countries, but price only the later, as country-specific risk is diversifiable. The aim of this study is two-fold, firstly, investigating the superiority of the Fama-French three-factor model over Capital Asset Pricing Model (CAPM) and later using the superior model to test for integration of Indian and US equity markets (a proxy for global markets). Based on a sample of Bombay Stock Exchange 500 non-financial companies for the period 2003–2019, the data suggest the superiority of Fama-French three-factor model over CAPM. Using the Non-Linear Seemingly Unrelated Regression technique, the first half of the sample period (2003–2010) shows evidence of market segmentation; however, the second sub-period (2011–2019) shows weak signs of market integration, which is supported by the Johansen test of cointegration, suggesting that Indian market is gradually getting integrated with global markets.
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Datta, Smita, and Anindita Chakraborty. "Fama French Three-factor Model: A Comparative Study." Effulgence-A Management Journal 16, no. 2 (July 1, 2018): 32. http://dx.doi.org/10.33601/effulgence.rdias/v16/i2/2018/32-41.

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Li, Man, and Michael Dempsey. "The Fama and French three-factor model in developing markets: evidence from the Chinese markets." Investment Management and Financial Innovations 15, no. 1 (January 23, 2018): 46–57. http://dx.doi.org/10.21511/imfi.15(1).2018.06.

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The authors study the Fama and French three-factor (FF-3F) model in relation to a developing market. To this end, they consider Chinese stock markets over the period 1995–2008, which is to say, over a period when these markets are recognized as “developing” markets influenced by speculative activity. The authors find that the model appears to be working as a form of “principal component analysis for the determinants of stock price formation with book-to-market (B/M) as the “variable of choice” on account of that it captures the earnings-to-price (E/P), cash-flow-to-price (C/P) and sales-to-price (S/P) variables while remaining largely uncorrelated with firm size (whereas E/P, C/P and S/P are themselves positively correlated with firm size). The variables, however, are unrelated to risk as represented by market exposure, volatility, or leverage.
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Paliienko, Oleksandr, Svitlana Naumenkova, and Svitlana Mishchenko. "An empirical investigation of the Fama-French five-factor model." Investment Management and Financial Innovations 17, no. 1 (March 10, 2020): 143–55. http://dx.doi.org/10.21511/imfi.17(1).2020.13.

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The article deals with evaluating the securities portfolios in the process of transition from the one-factor CAPM model to the Fama-French five-factor model (FF5F). It identifies the advantages of the latter and discusses the controversial issues regarding its use by portfolio investors in different countries, given the anomalies inherent in asset pricing. Besides, the peculiarities of the statistical stratification method used in the FF5F model to group stock portfolios are revealed, and attention is drawn to some of the debating points of the five-factor model. The proposals have been formulated, which offer broader avenues for taking advantage of the FF5F model and increase the validity of the portfolio analysis results. The article also gives recommendations on modifying the approaches to analyzing small-size portfolios versus big-size portfolios based on partial changes in RMW and CMA factors, threshold proportions, and the use of STARR for asymmetric portfolios. The study substantiates the use of these approaches in testing the Fama-French five-factor model with portfolios composed of blue chips.
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Black, Angela J. "Macroeconomic risk and the Fama‐French three‐factor model." Managerial Finance 32, no. 6 (June 2006): 505–17. http://dx.doi.org/10.1108/03074350610666238.

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Abd-Alla, Mustafa Hussein, and Mahmoud Sobh. "Empirical Test of Fama and French Three-Factor Model in the Egyptian Stock Exchange." Financial Assets and Investing 11, no. 2 (December 31, 2020): 5–18. http://dx.doi.org/10.5817/fai2020-2-1.

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We test the empirical validity of the three-factor model of Fama and French in the Egyptian Stock Exchange (EGX) using monthly excess stock returns of 50 stocks listed on the EGX from January 2014 to December 2018. Our findings do not support Fama and French three-factor model, where the coefficient of the beta was insignificant. The “SBM” coefficient and the “HML” coefficient were equal to zero and insignificant, which confirms the absence of the small firm effect and book-to-market ratio effect in the market. We conclude that there is no relation between expected return and Fama-French risk factors.
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Abd-Alla, Mustafa Hussein, and Mahmoud Sobh. "Empirical Test of Fama and French Three-Factor Model in the Egyptian Stock Exchange." Financial Assets and Investing 11, no. 2 (December 31, 2020): 5–18. http://dx.doi.org/10.5817/fai2020-2-1.

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We test the empirical validity of the three-factor model of Fama and French in the Egyptian Stock Exchange (EGX) using monthly excess stock returns of 50 stocks listed on the EGX from January 2014 to December 2018. Our findings do not support Fama and French three-factor model, where the coefficient of the beta was insignificant. The “SBM” coefficient and the “HML” coefficient were equal to zero and insignificant, which confirms the absence of the small firm effect and book-to-market ratio effect in the market. We conclude that there is no relation between expected return and Fama-French risk factors.
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Boamah, Nicholas Addai. "Robustness of the Carhart four-factor and the Fama-French three-factor models on the South African stock market." Review of Accounting and Finance 14, no. 4 (November 9, 2015): 413–30. http://dx.doi.org/10.1108/raf-01-2015-0009.

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Purpose – The purpose of this study is to explore the applicability of the Fama–French and Carhart models on the South African stock market (SASM). It examines the ability of the models to capture size, book-to-market (BM) and momentum effects on the SASM. The paper, additionally, explores the ability of the Fama–French–Carhart factors to predict the future growth of the South African economy. Design/methodology/approach – The paper relies on data of 848 firms from January 1996 to April 2012 to examine the size, BM and momentum effects on the SASM. The paper constructs the test assets from a 3 × 3 sort on size and BM and a 3 × 3 sort on size and momentum. The paper estimates momentum as the past six-months’ cumulative return. The momentum portfolios are monthly rebalanced. Additionally, the size and BM portfolios are formed annually at the end of each June. Findings – Evidence is provided that size, BM and momentum effects exist on the SASM; also, the small- and high-BM firm portfolios, respectively, appear riskier than the big- and low-BM firm portfolios. The paper provides evidence of past winners outperforming past losers aside from the small-firm group. Additionally, the models only partially capture the size and value effects on the SASM. The Carhart model partly captures the momentum effects, but the Fama–French model is unable to describe the returns to the momentum-sorted portfolios. The evidence shows that the models’ factors predict future gross domestic product growth. Originality/value – The models do not fully describe returns on the SASM; any application of the models on the SASM should be done with caution. The Carhart model better describes returns than the Fama–French model on the SASM. The Fama–French–Carhart factors may relate to the underlying economic risk of the South African economy.
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Shaker, Mohamed A., and Marwan M. Abdeldayem. "Examining asset pricing models in emerging markets: Evidence from Egypt." Corporate Ownership and Control 16, no. 1 (2018): 50–57. http://dx.doi.org/10.22495/cocv16i1art6.

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The study aims at executing five tantamount asset pricing models in Egypt, in particular: 1) “the CAPM”, 2) “the Fama-French three-factor model (1993)”, 3) “the Carhart model (1997)”, 4) “the four-factor model of Chan and Faff (2005)”, and 5) “the five-factor model (Liquidity and Momentum-Augmented Fama-French three factor model)”. This research effort pursues Fama-French arranging approach in view of the size and Book-to-Market proportion (B-M ratio) for 55 securities out of the most 100 stocks in the Egyptian Stock Exchange (EGX) over a five years’ time period. We utilized “the time series regression of Black, Jensen and Scholes (1972)”. The findings of the study revealed that in terms of predictability, FF three-factor model prompts a significant improvement over the CAPM, while alternate models do not demonstrate a noteworthy increment over the FF three factor model.
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Dissertations / Theses on the topic "Fama and French three-factor model"

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Lam, Kenneth. "Is the Fama-French three-factor model better than the CAPM? /." Burnaby B.C. : Simon Fraser University, 2005. http://ir.lib.sfu.ca/handle/1892/2094.

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Mao, Bin. "An empirical study of the Fama and French three-factor model." Thesis, University of Aberdeen, 2009. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=208283.

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In recent years there has been increasing empirical evidence that appears to support the view that the Fama and French three-factor model is highly effective in capturing the systematic risks associated with equity rates of return. It has equally been recognised that the three-factor model does not have the theoretical sophistication of the Capital Asset Pricing Model (CAPM). This comparison presents a puzzle that hinges on a search for explanations of the sources of the two extra risk factors that are central to the three-factor model. These factors are: first, the size premium (defined as the difference between rates of return on a large size stocks and small size stocks); and, second the value premium (defined as the difference between rates of return on high Book-to-Market stocks and low Book-to-Market stocks). The purpose of this thesis is to offer a careful empirical analysis of the Fama and French three-factor model, which will add to our knowledge about the source of the systematic risks associated with these two factors. The study consists of three sections. In the first section, the three-factor model is tested under the time-varying volatility condition by using Generalized Autoregressive Conditional Heteroscedastic (GARCH) models in two time periods, June 1963-December 1991 and September 1927-December 2005 in the US market. The results indicate that the time-varying volatility does not improve the performance of the three-factor model in explaining the rates of return, but it does enhance the efficiency of the regression model by reducing the value of standard deviation and serial autocorrelation within residuals. In the second and third section, the potential relationship of the value premium with several macroeconomic risk factors, measured as the industrial production, inflation rate, the money supply, and the interest rate, are tested from January 1959 to December 2005 in US market. By using the methodology of the Cointegration test to focus on the long run relationship and conditional volatility by GARCH model to focus on risk relationship, the results suggest that i) the value premium is related to the changes of fundamental risk; ii) there is an asymmetric effect on the price of the value stock and growth stock under different business conditions; iii) and the three risk factors are driven by a similar source of macroeconomic activity change, but the interactive relationship between these three risk factors is essential in explaining the rates of return, thus, they should be used together. Overall, the results in this thesis support the view that the Fama and French three-factor model is a strong model in explaining rates of return, and that the value premium is generated from systemic risk and should be used in the equilibrium asset pricing model. The finding is useful for academics and practitioners alike.
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Marklund, Christian, and Joakim Hansen. "Existerar volatilitetssymmetri? : En studie i volatilitet och reala optioners effekt på Sverigesaktiemarknad." Thesis, Umeå universitet, Företagsekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-90514.

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Problembakgrund: Studier för sambandet mellan volatilitet och avkastning har för det aggregerade marknadsperspektivet varit odelat enliga i att detta är negativt. Detsamma gäller inte sambandet vid studier på aktier för enskilda företag där ett antal har kunnat observera ett positivt samband. Detta skulle betyda att det är fördelaktigt när en akties volatilitet ökar, vilket går emot tidigare teorier som säger att sjunkande aktiekurser leder till en ökande volatilitet. I en teori har reala optioner presenterats som en förklaring genom dess konvexitet som leder till ett samtidigt ökande värde när volatilitet ökar. Problemformulering: Existerar ett positivt samband mellan volatilitet och avkastning för enskilda aktier noterade på den svenska aktiemarknaden? Syfte: Studiens huvudsyfte ligger i att avgöra om det går att observera ett positivt samband mellan volatilitet och avkastning på företagsnivå. Sambandet kontrolleras för de variabler som indikerar på en relativt stor tillgång reala optioner för att avgöra om ett företags flexibilitet gör att avkastning och volatilitet ökar samtidigt genom de reala optionernas värdeökning i enlighet med den teori presenterad av Grullon, Lyandres och Zhdanov. Ett delsyfte är därefter att undersöka huruvida vanliga prisjämviktsmodellers förklaringsgrad kan förbättras för att utreda om reala optioner har en så betydande effekt för svenska aktiers avkastning att investerare bör ta dessa i beaktande. Teori: Studien avhandlar de två teorier som tidigare presenterats som huvudförklaringar för det asymmetriska sambandet mellan volatilitet och avkastning, hävstångseffekten och volatilitetsfeedback-effekten. Dessutom presenteras den teori som genom ett företags flexibilitet eventuellt förklarar ett symmetriskt samband och de nyckeltal som indikerar på en relativ tillgång reala optioner. För att kunna undersöka detta samband använder vi CAPM, Fama-French tre- och Carhart fyrfaktormodell, samt en vidare modifierad modell som beaktar reala optioner. Metod: För att besvara vår problemformulering har vi valt att genomföra denna kvantitativa studie med en deduktivt ansats. Ett totalurval bestående av 1131 företag på aktiemarknaden mellan åren 1992 – 2011 ligger som grund för de statistiska testen.  Empiri/analys: Resultaten visar på att det inte föreligger ett positivt samband mellan volatilitet och avkastning för enskilda aktier noterade i Sverige, det samband vi finner är signifikant negativt. De undersökta prisjämviktsmodellerna visar på en något ökande förklaringsgrad för de variabler som indikerar reala optioner men utan signifikanta resultat. Dessa resultat skiljer sig från referensstudien på den amerikanska marknaden av Grullon et al. som kunnat visa på ett positivt samband. Slutsats: Ett existerande symmetriskt samband går inte att helt utesluta, resultaten visar däremot på att de teorier som driver ett negativt samband är dominerande på den svenska marknaden. Detta kan bero på exempelvis skillnader i företagsklimat eller juridiska trösklar mellan länder som hämmar ett företags möjligheter till att vara flexibla och att denna effekt därför blir begränsad.
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Boros, Daniel, and Claes Eriksson. "Does size matter? : An empirical study modifying Fama & French's three factor model to detect size-effect based on turnover in the Swedish markets." Thesis, Linköpings universitet, Nationalekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-117836.

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This thesis investigates whether the estimation of the cost of equity (or the expected return) in the Swedish market should incorporate an adjustment for a company’s size. This is what is commonly known as the size-effect, first presented by Banz (1980) and has later been a part of models for estimating cost of equity, such as Fama & French’s three factor model (1992). The Fama & French model was developed based on empirical research. Since the model was developed, the research on the size-effect has been divided and today there are empirical studies contradicting its existence. Arguments against the size-effect are to some extent supported by the fact that there is no solid theoretical explanation for it. It seems however that market participants in the Swedish markets do adjust for the size.A limitation of the Fama & French model is that market data is required for the estimation. Our starting point is to investigate if there is a presence of the size-effect in the Swedish markets using a modified version Fama & French model. In our modified model a proxy for the market value of the firm has been introduced, namely the firms turnover. This is motivated by the fact data regarding a company’s turnover is available for private firms as well. In the case that size-effect is observable using the turnover as a proxy this would allow to extend the model to estimate the cost of equity for private firms. In the case where a consistent estimated marginal effect of the turnover is observed, our model could be used to estimate cost of equity with reasonable precision. Historical data on Swedish companies from each of the OMX Large, Mid & Small cap lists is used in a regression setting to investigate if any statistical significant results can be observed on whether the logarithm of the turnover affects the expected return.Our results indicate that the marginal effect of the turnover is positive, contradicting previous research and economic intuition that size of a company should be negatively correlated (or uncorrelated) with the expected return. By investigating the internal and external validity of the results, comparison to previous research and assessing data quality, we conclude that errors originating from these factors are not plausible to cause the unintuitive results. We therefore conclude that the use of turnover as a proxy for market value is not viable, which may be attributed to the fundamental relationship between the turnover and cost of equity in valuation formulas. Conclusively we cannot draw any further conclusions regarding presence of size-effect in the Swedish equity markets and discard the possibility of using our modified model for estimating cost of equity for private firms.
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Michaelides, Michael. "Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets." Diss., Virginia Tech, 2017. http://hdl.handle.net/10919/77515.

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The primary objective of this dissertation is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these models, several departures are found and the original linear regression models are respecified. The respecification results in a family of heterogeneous Student's t models which are shown to account for all the statistical regularities in the data. This family of models provides an appropriate basis for revisiting the empirical adequacy of the CAPM and the Fama-French multi-factor models, as well as other models, such as alternative asset pricing models and risk evaluation models. Along the lines of providing a sound basis for reliable inference, the respecified models can serve as a coherent basis for selecting the relevant factors from the set of possible ones. The latter contributes to the enhancement of the substantive adequacy of the CAPM and the multi-factor models.
Ph. D.
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Lagnado, Leonardo Mathiazzi. "Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/17047.

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This dissertation is aimed at evaluating the risk-return relationship of stocks by incrementing the Fama and French five-factor model (F. FAMA and R. FRENCH, 2015) with two new variables. This was done by creating a six-factor model aimed at capturing the size, value, profitability, investment and governance patterns in average stock returns. An additional seven-factor model was also created by adding a herding factor. Governance and herding were chosen as additional factors because of a hypothesis that they would be relevant in less efficient markets such as Brazil. The evaluation of the two model´s performance versus the traditional five-factor model was performed next, as well as the assessment of relevance of the newly added factors. Testing the six-factor model, it had a similar performance to the five-factor model, and the governance factor proved to be relevant in the Brazilian market. Adding the herding factor weakened the results, although the factor still proved to be relevant in some cases.
O objetivo desta dissertação é avaliar a relação risco-retorno de ações incrementando o modelo de cinco fatores de Fama e French (F. FAMA and R. FRENCH, 2015) com duas novas variáveis. Isso foi feito criando um modelo de seis fatores que busca capturar os padrões de tamanho, valor, lucratividade, investimento e governança nos retornos médios de ações. Um modelo adicional de sete fatores também foi criado adicionando um fator para o efeito manada. A governança e o efeito manada foram escolhidos como fatores adicionais por conta da hipótese de que eles seriam relevantes em mercados menos eficientes como o Brasil. A avaliação da performance dos dois modelos contra o modelo tradicional de cinco fatores foi então realizada, bem como a avaliação da relevância dos novos fatores. Testando o modelo de seis fatores, descobrimos que ele tem uma performance semelhante ao de cinco fatores, e o fator de governança mostrou ser relevante no mercado Brasileiro. Adicionando o fator para o efeito manada enfraqueceu os resultados, embora o fator ainda mostrou-se relevante em alguns casos.
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Rehnby, Nicklas. "Does the Fama-French three-factor model and Carhart four-factor model explain portfolio returns better than CAPM? : - A study performed on the Swedish stock market." Thesis, Karlstads universitet, Handelshögskolan, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-43784.

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This essay will compare the capital asset pricing model (CAPM), Fama and French threefactor model and Carhart´s four-factor model, to see which of these models that can explain portfolio excess returns best on the Swedish stock market. This thesis will tempt to validate the three and four-factor models because of the limited amount of research done on the Swedish stock market. The results indicate that the three-factor model improves explanatory power for portfolio returns in comparison to the CAPM, and the four-factor model gives a small improvement in the explanatory power compared to the three-factor model. The results also indicate that all models have a low explanatory power when the market is volatile.
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Hajric, Amina, and Kajsa Larsson. "Utvärdering av CAPM och Fama & French-trefaktormodellen : en studie på den svenska marknaden." Thesis, Högskolan Kristianstad, Sektionen för hälsa och samhälle, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hkr:diva-17214.

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Det är sedan länge känt att det finns en positiv korrelation mellan risk och avkastning. Investerare och bolag kan välja mellan flera olika prissättningsmodeller för att förutspå priset på en aktie. Forskare har, med den kända enfaktormodellen CAPM som utgångspunkt, utvecklat en modell som tar hänsyn till mer än bara marknadsfaktorn. Detta resulterade i framtagandet av Fama & French-trefaktormodellen (FF3) som även inkluderar storleksfaktorn SMB samt värdefaktorn HML. Syftet med studien är att utvärdera två prissättningsmodeller, CAPM och FF3, för att kunna bedöma deras prestanda vid värdering av förväntad avkastning. Tidigare forskning, inom området för nämnda modeller, berör ofta internationella marknader samt modellernas prestanda för portföljer. Vår studie utförs på utvalda enskilda svenska aktier inkluderade på Stockholmsbörsens Large Cap för januari år 2011 till december år 2015, genom att replikera tidigare forskning gjord av Bartholdy & Peare (2005). Utvalda bolag analyseras efter regressioner för modellerna för att kunna utvärdera dessa var för sig, samt för att se om FF3 har en högre justerad förklaringsgrad än CAPM för enskilda svenska aktier. Resultatet av studien visar att både CAPM och FF3 är applicerbara för utvalda enskilda svenska aktier. Ställs FF3 i förhållande till CAPM föreligger skillnad i justerad förklaringsgrad, dock är den ytterst marginell. Sammanfattningsvis bidrar studien med kunskapen om att CAPM och FF3 går att applicera på enskilda svenska aktier, men att det inte föreligger någon större skillnad i val av dessa två modeller.
Investors and companies can choose between multiple pricing models to predict the price of shares. With the known one factor model CAPM, researchers have developed a model that consider more than just the market factor. This resulted in the creation of the Fama & French three factor model (FF3), which also includes the size factor SMB and the value factor HML. The purpose of the study is to evaluate two pricing models, CAPM and FF3, to assess their performance when evaluating expected returns. Previous research often deal with international markets and model performance of portfolios. We study selected individual Swedish shares for January 2011 to December 2015 by replicating previous research by Bartholdy & Peare (2005). Selected companies are analysed by regressions for the models to be able to evaluate these separately, and to see if FF3 has a higher degree of explanation than CAPM for individual Swedish shares. The result of the study shows that both CAPM and FF3 are applicable for selected individual Swedish shares. There is a difference in the adjusted degree of explanation between the models but it is marginal. In conclusion, the study contributes with the knowledge that CAPM and FF3 can be applied to individual Swedish shares, but there is no major difference in the choice of these two models.
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Suh, Daniel. "Stock returns, risk factor loadings, and model predictions a test of the CAPM and the Fama-French 3-factor model /." Morgantown, W. Va. : [West Virginia University Libraries], 2009. http://hdl.handle.net/10450/10744.

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Thesis (Ph. D.)--West Virginia University, 2009.
Title from document title page. Document formatted into pages; contains x, 146 p. : col. ill. Includes abstract. Includes bibliographical references.
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Issar, Rajiv Issar. "Market Capitalization and Firm Value: The Size Factor." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/4224.

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Current multifactor valuation pricing models use size (measured by market capitalization) of a firm as one factor to determine the value of a security. The problem with current standard models was that none of them could explain the value of a security consistently and accurately based on current factors and in particular the size factor. The purpose of this quantitative study using existing time-series data over a 10-year period from 2006 to 2015 was to examine the impact of size factor on the realized rate of return of financial securities, while controlling for the impact of market rate of return. There are currently many valuation models but there is no 2-factor model or a model that uses a size factor that includes mid-cap sized securities. The research questions examined mid-cap sized securities for the size factor in a 2-factor model to determine the accuracy of predicting financial returns compared to the current standard Fama-French 3-factor model. The main theoretical framework that guided the study was the efficient market hypothesis that postulates that the price of a stock reflects all relevant available information. Data were collected for historical returns of 15 individual firms and portfolios of securities based on size. Multiple regression analysis methodology was used to examine the impact of size factor on the realized rate of return of financial securities, while controlling for the impact of market rate of return in the modified 2-factor model that included mid-caps. The results of the study indicate that size is a statistically significant factor in a 2-factor model that included mid-caps. The positive social impact of this study is that it could provide greater confidence in financial markets by providing a fair and equitable means of investment and flow of capital for a robust economy.
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Books on the topic "Fama and French three-factor model"

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Back, Kerry E. Factor Models. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0006.

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The CAPM and factor models in general are explained. Factors can be replaced by the returns or excess returns that are maximally correlated (the projections of the factors). A factor model is equivalent to an affine representation of an SDF and to spanning a return on the mean‐variance frontier. The use of alphas for performance evaluation is explained. Statistical factor models are defined as models in which factors explain the covariance matrix of returns. A proof is given of the Arbitrage Pricing Theory, which states that statistical factors are approximate pricing factors. The CAPM and the Fama‐French‐Carhart model are evaluated relative to portfolios based on sorts on size, book‐to‐market, and momentum.
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Book chapters on the topic "Fama and French three-factor model"

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Müller, Birgit Charlotte. "Capital Share Risk in International Asset Pricing." In Three Essays on Empirical Asset Pricing in International Equity Markets, 62–93. Wiesbaden: Springer Fachmedien Wiesbaden, 2021. http://dx.doi.org/10.1007/978-3-658-35479-4_3.

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ZusammenfassungIn a seminal study, Lettau et al. (2019) demonstrate that a single macroeconomic factor can explain a wide range of equity and nonequity portfolio returns within the U.S. market. This factor, which is based on the growth in the capital share of aggregate income, is able to outperform, yet even subsume information in well-established factor models as for instance the Fama-French three factor model. The aim of this paper is to study whether the explanatory power of this factor maintains across international equity markets.
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Petkova, Ralitsa. "Financial Economics, The Cross-Section of Stock Returns and the Fama-French Three Factor Model." In Encyclopedia of Complexity and Systems Science, 3391–404. New York, NY: Springer New York, 2009. http://dx.doi.org/10.1007/978-0-387-30440-3_203.

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Petkova, Ralitsa. "Financial Economics, The Cross-Section of Stock Returns and the Fama-French Three Factor Model." In Complex Systems in Finance and Econometrics, 361–74. New York, NY: Springer New York, 2009. http://dx.doi.org/10.1007/978-1-4419-7701-4_21.

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Allen, David E., and Singh Robert Powell. "Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis." In Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, 176–93. London: Palgrave Macmillan UK, 2011. http://dx.doi.org/10.1057/9780230298101_7.

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Lu, Xiaoguang, Tingyu Zheng, and Qingchun Lu. "The Study in Characteristics of SMB and HML’s Non-system Risk Factors in the Fama and French Three-Factor Model." In Advances in Computer Science, Intelligent System and Environment, 467–71. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-23753-9_75.

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"The Fama and French Three-Factor Model." In Stock Markets, Investments and Corporate Behavior, 31–37. IMPERIAL COLLEGE PRESS, 2015. http://dx.doi.org/10.1142/9781783267002_0003.

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"Beyond the Fama and French Three-Factor Model." In Stock Markets, Investments and Corporate Behavior, 39–46. IMPERIAL COLLEGE PRESS, 2015. http://dx.doi.org/10.1142/9781783267002_0004.

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Erdinç, Yaşar. "Comparison of CAPM, Three-Factor Fama-French Model and Five-Factor Fama-French Model for the Turkish Stock Market." In Financial Management from an Emerging Market Perspective. InTech, 2018. http://dx.doi.org/10.5772/intechopen.70867.

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McNevin, Bruce D., and Joan Nix. "An Application of Wavelets to Finance: The Three-Factor Fama/French Model." In Wavelet Theory and Its Applications. InTech, 2018. http://dx.doi.org/10.5772/intechopen.74165.

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Liu, Hsuan-Yu, and Cindy S. H. Wang. "A New Perspective on the Fama–French Five-factor Model." In Advances in Pacific Basin Business, Economics and Finance, 89–107. Emerald Publishing Limited, 2019. http://dx.doi.org/10.1108/s2514-465020190000007005.

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Conference papers on the topic "Fama and French three-factor model"

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Huo, Lin, and Xiaoli Sun. "An augmented fama and french three-factor model using social interaction." In 2017 IEEE International Conference on Big Data (Big Data). IEEE, 2017. http://dx.doi.org/10.1109/bigdata.2017.8258435.

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Yan, Runqin, and Jingwen Bao. "Analysis of Application of Fama-French 3-factor Model and Fama-French 5-factor Model in Manufacture Industry and Health Industry." In 2020 Management Science Informatization and Economic Innovation Development Conference (MSIEID). IEEE, 2020. http://dx.doi.org/10.1109/msieid52046.2020.00036.

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Zhang, Hengjia, Yanjia Yang, Jiayi Zhu, Liuling Li, and Bruce MizrachSi. "Analysis of US Agriculture Market with a New Fama-French Three-Factor Model." In 2016 3rd International Conference on Management, Education Technology and Sports Science (METSS 2016). Paris, France: Atlantis Press, 2016. http://dx.doi.org/10.2991/metss-16.2016.52.

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Hasan, Md Zobaer, and Anton Abdulbasah Kamil. "Cross-sectional test of the Fama-French three-factor model: Evidence from Bangladesh stock market." In STATISTICS AND OPERATIONAL RESEARCH INTERNATIONAL CONFERENCE (SORIC 2013). AIP Publishing LLC, 2014. http://dx.doi.org/10.1063/1.4894334.

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Subroto, Wilson, and Ignatius Roni Setyawan. "The Determinants of Stock Return Using by Fama and French Three Factor Model (FF3FM) in IDX." In Ninth International Conference on Entrepreneurship and Business Management (ICEBM 2020). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210507.032.

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Fauzie, Syarief, and Ranika Elizabeth Siagian. "Fama-French Five-Factor Model Analysis on Valuation of Bank Stock Returns." In 2nd INTERNATIONAL RESEARCH CONFERENCE ON ECONOMICS AND BUSINESS 2018. SCITEPRESS - Science and Technology Publications, 2018. http://dx.doi.org/10.5220/0008786802760284.

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Inggrit Wijaya, Liliana, Randy Kennardi Irawan, and Putu Anom Mahadwartha. "Test of Fama a French five factor-model on Indonesian stock market." In 15th International Symposium on Management (INSYMA 2018). Paris, France: Atlantis Press, 2018. http://dx.doi.org/10.2991/insyma-18.2018.12.

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Qin, Rui. "Study on Applicability of Fama-French Five-Factor Model in Chinese A-Share Market." In Proceedings of the 2nd International Symposium on Social Science and Management Innovation (SSMI 2019). Paris, France: Atlantis Press, 2019. http://dx.doi.org/10.2991/ssmi-19.2019.16.

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Liu, Yang. "Analysis of Hardware Industry During COVID-19 Based on Fama-French Five Factor Model." In 2021 IEEE Asia-Pacific Conference on Image Processing, Electronics and Computers (IPEC). IEEE, 2021. http://dx.doi.org/10.1109/ipec51340.2021.9421237.

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Zhang, Yanliang, Fanhao Li, and Yue Gong. "Research on the Applicability of Fama-French Five-factor Model in Chinese A-share Market." In 2nd International Conference on Culture, Education and Economic Development of Modern Society (ICCESE 2018). Paris, France: Atlantis Press, 2018. http://dx.doi.org/10.2991/iccese-18.2018.204.

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