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What do the Fama-French Factors Add to C-CAPM?

Pongrapeeporn Abhakorn, 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

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. 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)
Date: 2013
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Journal Article: What do the Fama–French factors add to C-CAPM? (2013) Downloads
Working Paper: What do the Fama-French factors add to CCAPM? (2013) Downloads
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