What do the Fama-French Factors Add to C-CAPM?
Peter Smith (),
Michael Wickens and
Michael R. Wickens
Authors registered in the RePEc Author Service: Michael R. Wickens
No 4197, CESifo Working Paper Series from CESifo
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 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: C-CAPM; asset pricing; Fama-French factors (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
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Journal Article: What do the Fama–French factors add to C-CAPM? (2013)
Working Paper: What do the Fama-French factors add to CCAPM? (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_4197
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