The capital asset pricing model versus the Three Factor Model : a United Kingdom perspective
Bhatnagar, Chandra Shekhar
The capital asset pricing model versus the Three Factor Model : a United Kingdom perspective - [St. Augustine]TT [UWI] 2009 - 27 p.
Provides an out-of-sample perspective to the work of Fama and French (1996, 2006). Uses multiple regression to compare the performance of the Capital Asset Pricing Model (CAPM), a spilt sample CAPM and the Three Factor Model in explaining observed stock returns and value premium effects in the United Kingdom market.
11.02.02 I615bh
The capital asset pricing model versus the Three Factor Model : a United Kingdom perspective - [St. Augustine]TT [UWI] 2009 - 27 p.
Provides an out-of-sample perspective to the work of Fama and French (1996, 2006). Uses multiple regression to compare the performance of the Capital Asset Pricing Model (CAPM), a spilt sample CAPM and the Three Factor Model in explaining observed stock returns and value premium effects in the United Kingdom market.
11.02.02 I615bh