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Fama–French three-factor model

Known as: Fama-French three factor model, Fama-French three-factor model, Three-factor model 
In asset pricing and portfolio management the Fama–French three-factor model is a model designed by Eugene Fama and Kenneth French to describe stock… 
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Related topics

Related topics

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Capital asset pricing model

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2015
2015
Fundamental indexation and the Fama-French Three Factor Model: Risk assimilation or stock mispricing?
We confirm the outperformance of fundamental indexation (FI) portfolio returns as due to an exploitation of stock mispricing… 
2013
2013
TEST OF THE FAMA-FRENCH THREE-FACTOR MODEL IN CROATIA
This paper empirically examines the Fama-French three-factor model of stock returns for Croatia. In contrast to the results of… 
2013
2013
Fama-French Three Factor Model in Indian Stock Market
This paper studies the financial performance of Indian Stocks by implementing the Fama French Three Factor model to 27 stocks of… 
2013
2013
Empirical Researches of the Capital Asset Pricing Model and the Fama-French Three-factor Model on the U.S. Stock Market
The aim of this paper is to use the US stock market index to construct different portfolios and test the possible differences in… 
2012
2012
Risk-return Predictions with the Fama-french Three-factor Model Betas
A three-factor model regime has replaced the CAPM regime in academic research. The CAPM regime may be said to have ended with… 
2008
2008
An Improvement of Fama French Three-Factor Model Based on State Switch Informations
An empirical analysis based on sample data of all A stocks listed on Shanghai and Shenzhen Exchanges from June 1995 to December… 
2006
2006
On the Two-Stage Estimation of the Fama-French Three Factor Model: Evidence from Taiwan
In this paper, a few common approaches to implementing the two-stage test on the Fama-French three-factor models are examined for… 
2004
2004
TESTS OF THE CAPM AND FAMA AND FRENCH THREE- FACTOR MODEL
This project compares and tests the effectiveness of two asset-pricing models: the Sharpe (1 964)-Lintner (1 965) capital asset… 
2002
2002
A Simple Model of Intertemporal Capital Asset Pricing and Its Implications for the Fama-French Three-Factor Model ∗
Characterizing the instantaneous investment opportunity set by the real interest rate and the maximum Sharpe ratio, a simple… 
2002
2002
A Test of the Fama-French Three Factor Model in the Australian Equity Market
Studies that have investigated the cross-section of average returns on common stocks in the United States have found evidence… 
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