- Restrictions on Access:
- Open Access.
- This paper aims to analyze statistical data in support of the hypothesis that the Fama French Three-factor Model (FF3FM) will better describe the risk-return relationship of a portfolio than the Capital Asset Pricing Model (CAPM). That is, if the portfolio embodies specific characteristics the Fama French Three-factor Model provides compensation for. These characteristics are related to portfolio size and value as those are the two additional factors the Fama French Three-factor Model uses to describe the risk-return relationship in comparison to the Capital Asset Pricing Model. The CAPM solely relies on the portfolios market sensitivity to predict its return. Through the results of eight linear regressions, this paper will demonstrate that the FF3FM describes the risk-return relationship better than the CAPM for US value and small-cap heavy portfolios weekly returns over the past three years.
- Dissertation Note:
- B.S. Pennsylvania State University 2019.
- Technical Details:
- The full text of the dissertation is available as an Adobe Acrobat .pdf file ; Adobe Acrobat Reader required to view the file.
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