Fama-French Three-Factor Model

GPTKB entity

Predicate	Object
gptkbp:instanceOf	asset pricing model
gptkbp:appliesTo	risk analysis portfolio management performance attribution
gptkbp:author	gptkb:Kenneth_R._French gptkb:Eugene_F._Fama
gptkbp:citation	gptkb:The_Cross-Section_of_Expected_Stock_Returns 1992
gptkbp:criticizedFor	not capturing momentum
gptkbp:describes	stock returns
gptkbp:developedBy	gptkb:Kenneth_French Eugene Fama
gptkbp:empiricalSupport	broad international evidence
gptkbp:extendsTo	gptkb:Capital_Asset_Pricing_Model
gptkbp:factor1	market risk
gptkbp:factor2	size risk
gptkbp:factor3	value risk
gptkbp:form	Ri - Rf = α + β1(Mkt-Rf) + β2SMB + β3HML + ε
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:marketFactor	Mkt-Rf
gptkbp:publishedIn	gptkb:Journal_of_Financial_Economics
gptkbp:relatedTo	factor investing multi-factor models
gptkbp:sizeFactor	gptkb:SMB_(Small_Minus_Big)
gptkbp:usedFor	explaining cross-section of stock returns
gptkbp:usedIn	empirical asset pricing
gptkbp:valueFactor	gptkb:HML_(High_Minus_Low)
gptkbp:bfsParent	gptkb:Capital_Asset_Pricing_Model
gptkbp:bfsLayer	6