Comparison of the CAPM, the Fama-French Three Factor Model and Modifications

Christoph Lohrmann (Autor)

Buch | Softcover

44 Seiten

2015
GRIN Verlag
978-3-668-03224-8 (ISBN)

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Seminar paper from the year 2014 in the subject Economics - Finance, grade: 6,0 (Schweizer Notensystem), University of Liechtenstein, früher Hochschule Liechtenstein, language: English, abstract: This paper is focused on comparing the Capital Asset Pricing Model, the Fama-French Three Factor model and two modified versions of the Fama-French Model in their ability to explain excess returns. The first modified model contains the same explanatory variables as the Fama-French Model but with an additional AR(1) process. The second modification contains instead of an additional AR(1) an AR(2) process.Evaluated by the adjusted R² and the Akaike information criterion, the Fama-French model yields a higher model-fit than the CAPM. The modified Fama-French Model with an AR(2) process leads to significant results for the twice lagged return in the model in four out of six tested portfolios. Therefore, the in-sample regression reveals a higher model-fit of the modified Fama-French model with AR(2) in comparison to the other three models.Since the results differ from a regression in the subsequent period, the results are most likely spurious. Nevertheless, the authors show the high-er model-fit of the Fama-French Three Factor Model in relation to the CAPM.

Erscheinungsdatum	21.10.2015
Sprache	englisch
Maße	148 x 210 mm
Gewicht	77 g
Themenwelt	Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Familienrecht
Themenwelt	Wirtschaft ► Volkswirtschaftslehre
Schlagworte	CAPM • Comparison • Factor • Fama-French • Model • modifications • Three • Volkswirtschaftslehre • Volkswirtschaftslehre (VWL)
ISBN-10	3-668-03224-6 / 3668032246
ISBN-13	978-3-668-03224-8 / 9783668032248
Zustand	Neuware