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

Pongrapeeporn Abhakorn (), Peter Smith and Michael Wickens

Journal of Empirical Finance, 2013, vol. 22, issue C, 113-127

Abstract: 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. C-CAPM 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 and HML portfolios, is significantly improved by the inclusion of the HML factor. The component of the risk premia explained by consumption varies across size. We suggest that a possible explanation for the role of HML is its association with the investment growth prospects of firms.

Keywords: Risk premium; Equity return; Stochastic discount factor; No-arbitrage condition (search for similar items in EconPapers)
JEL-codes: C32 E44 G12 G14 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S092753981300025X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: What do the Fama-French Factors Add to C-CAPM? (2013)
Working Paper: What do the Fama-French factors add to CCAPM? (2013)
Working Paper: Consumption, Size and Book-to-Market Ratio in Equity Returns
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:22:y:2013:i:c:p:113-127

DOI: 10.1016/j.jempfin.2013.04.002

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().