投资组合预期收益的时间序列研究Fama and French(1993)三因素模型

EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2006-06-11 DOI:10.2139/ssrn.904300

Stylianos Paganopoulos, Peter Taylor

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引用次数: 0

摘要

Fama & French(1993)提出的三因素模型的具体规范甚至连它自己的创造者都无法理解。Fama和French(1996)试图在ICAPM和APT框架的背景下并置他们的特设模型的规范。然而，已经提出的证据还不够确凿。在本文中，我们推导了Fama和French(1993)的三因素模型的精确规范，而不考虑强调ICAPM和APT框架的假设。

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On the Time-Series of Expected Portfolio Returns; Fama and French's (1993) Three-Factor Model

The exact specification of the three-factor model of Fama & French (1993) has eluded and defied even its own creators. Fama & French (1996) try to juxtapose the specification of their ad hoc model in the context of the ICAPM and APT framework. However, the evidence that has been produced is not sufficiently conclusive. In this paper, we derive an exact specification of the three-factor model of Fama & French (1993) irrespectively of the assumptions that underline the ICAPM and APT frameworks.

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EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)

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