What do the Fama-French factors add to CCAPM?
Pongrapeeporn Abhakorn (),
Peter Smith () and
CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
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.
Pages: 26 pages
New Economics Papers: this item is included in nep-fmk
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https://cama.crawford.anu.edu.au/sites/default/fil ... rn_smith_wickens.pdf (application/pdf)
Journal Article: What do the Fama–French factors add to C-CAPM? (2013)
Working Paper: What do the Fama-French Factors Add to C-CAPM? (2013)
Working Paper: Consumption, Size and Book-to-Market Ratio in Equity Returns
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2013-23
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