Properties (62)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
financial model
|
| gptkbp:appliesTo |
stocks
portfolios |
| gptkbp:basedOn |
CAPM
|
| gptkbp:developedBy |
gptkb:Eugene_Fama
gptkb:Kenneth_French |
| https://www.w3.org/2000/01/rdf-schema#label |
Fama-French Model
|
| gptkbp:improves |
single-factor models
|
| gptkbp:includes |
market risk
size risk value risk |
| gptkbp:isAttendedBy |
financial advisors
pension funds institutional investors mutual funds hedge funds wealth managers |
| gptkbp:isBasedOn |
empirical research
|
| gptkbp:isCriticizedFor |
complexity
overfitting data snooping bias ignoring other factors lack of robustness lack of theoretical foundation not accounting for credit risk not accounting for liquidity risk |
| gptkbp:isEvaluatedBy |
performance metrics
|
| gptkbp:isExaminedBy |
academic papers
finance textbooks |
| gptkbp:isExemplifiedBy |
Carhart Model
|
| gptkbp:isInfluencedBy |
market trends
economic conditions market anomalies behavioral finance |
| gptkbp:isPartOf |
quantitative finance
investment strategy modern portfolio theory financial economics |
| gptkbp:isRelatedTo |
risk factors
portfolio management market efficiency risk-return tradeoff arbitrage pricing theory factor investing |
| gptkbp:isSupportedBy |
academic research
empirical evidence |
| gptkbp:isTrainedIn |
real-world data
alternative models multi-factor models historical returns |
| gptkbp:isUsedBy |
financial analysts
evaluate performance investment managers strategic asset allocation forecast returns analyze returns construct portfolios identify mispriced assets |
| gptkbp:isUsedIn |
finance
|
| gptkbp:provides |
explanatory power
|
| gptkbp:publishedIn |
1993
|
| gptkbp:usedFor |
asset pricing
|