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In asset pricing and portfolio management the Fama–French three-factor model is a statistical model designed in 1992 by Eugene Fama and Kenneth French to describe stock returns. Fama and French were colleagues at the University of Chicago Booth School of Business, where Fama still works.
In this paper Fama and French explain how they produce the U.S. factor returns in their Data Library and they estimate the effect of the two changes in their process and five major CRSP data-improvement projects on the average values of SMB and HML.
Jan 10, 2022 · Eugene F. Fama and Kenneth R. French introduced their three-factor model augmenting the capital asset pricing model (CAPM) nearly three decades ago. They proposed two factors in addition to CAPM to explain asset returns: small minus big (SMB), which represents the return spread between small- and large-cap stocks, and high minus low (HML ...
EUGENE F. FAMA and KENNETH R. FRENCH*. ABSTRACT. Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market 3, size, leverage, book-to-market equity, and earnings-price ratios.
Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market β, size, leverage, book-to-market equity, and earnings-price ratios.
- Eugene F. Fama, Kenneth R. French
- 1992
The Capital Asset Pricing Model: Theory and Evidence by Eugene F. Fama and Kenneth R. French. Published in volume 18, issue 3, pages 25-46 of Journal of Economic Perspectives, Summer 2004, Abstract: The capital asset pricing model (CAPM) of William Sharpe (1964) and John Lintner (1965) marks the bir...
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EUGENE F. FAMA and KENNETH R. FRENCH* ABSTRACT. Value stocks have higher returns than growth stocks in markets around the world.
