Properties (54)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
financial models
|
| gptkbp:analyzes |
cross-section of stock returns
risk-return relationship |
| gptkbp:appliesTo |
stocks
portfolios |
| gptkbp:basedOn |
CAPM
|
| gptkbp:developedBy |
gptkb:Eugene_Fama
gptkb:Kenneth_French |
| gptkbp:hasCitations |
assumes market efficiency
does not account for all anomalies requires historical data |
| gptkbp:hasRelatedPatent |
risk management
investment strategies mutual funds hedge funds |
| gptkbp:hasVariants |
five-factor model
four-factor model three-factor model |
| https://www.w3.org/2000/01/rdf-schema#label |
Fama-French models
|
| gptkbp:improves |
single-factor models
|
| gptkbp:includes |
market risk
size risk value risk |
| gptkbp:influencedBy |
market anomalies
behavioral finance |
| gptkbp:isAttendedBy |
financial institutions
pension funds wealth managers endowments hedge fund managers |
| gptkbp:isCriticizedFor |
overfitting
data snooping bias lack of theoretical foundation |
| gptkbp:isEvaluatedBy |
performance metrics
backtesting empirical tests |
| gptkbp:isInfluencedBy |
risk assessment
investment management finance theory |
| gptkbp:isRelatedTo |
quantitative finance
risk factors factor investing portfolio theory |
| gptkbp:isUsedIn |
academic research
financial education |
| gptkbp:provides |
expected returns
risk premiums |
| gptkbp:publishedIn |
1993
|
| gptkbp:relatedTo |
arbitrage pricing theory
multi-factor models |
| gptkbp:usedBy |
investors
financial analysts portfolio managers |
| gptkbp:usedFor |
asset pricing
|