Fama–French three-factor model
GPTKB entity
Statements (25)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
asset pricing model
|
| gptkbp:alsoKnownAs |
gptkb:Fama–French_model
|
| gptkbp:citation |
gptkb:The_Cross-Section_of_Expected_Stock_Returns
1992 |
| gptkbp:component |
gptkb:HML_(High_Minus_Low)
gptkb:SMB_(Small_Minus_Big) market excess return |
| gptkbp:countryOfOrigin |
gptkb:United_States
|
| gptkbp:developedBy |
gptkb:Kenneth_French
Eugene Fama |
| gptkbp:extendsTo |
gptkb:Capital_Asset_Pricing_Model
|
| gptkbp:factor |
market risk
size risk value risk |
| gptkbp:field |
economics
finance |
| https://www.w3.org/2000/01/rdf-schema#label |
Fama–French three-factor model
|
| gptkbp:influenced |
gptkb:Carhart_four-factor_model
gptkb:Fama–French_five-factor_model |
| gptkbp:introducedIn |
1992
|
| gptkbp:publishedIn |
gptkb:Journal_of_Financial_Economics
|
| gptkbp:usedFor |
explaining stock returns
portfolio analysis |
| gptkbp:bfsParent |
gptkb:Eugene_F._Fama
|
| gptkbp:bfsLayer |
5
|