Mohlo by se vám také líbit

Více informací o knize Comparison of the CAPM, the Fama-French Three Factor Model and Modifications

• Parametry knihy
• Anotace
• Oblíbené z jiného soudku

Nákupem získáte 122 bodů

Anotace knihy

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 R˛ 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.

Parametry knihy

Zařazení knihy Knihy v angličtině Economics, finance, business & management Economics

• Plný název: Comparison of the CAPM, the Fama-French Three Factor Model and Modifications
• Autor: Christoph Lohrmann
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 44
• EAN: 9783668032248
• ISBN: 3668032246
• ID: 09538972
• Nakladatelství: Grin Publishing
• Hmotnost: 68 g
• Rozměry: 210 × 148 × 3 mm
• Datum vydání: 03. September 2015

Oblíbené z jiného soudku

---

---

---