Fama-French three-factor model
GPTKB entity
Statements (24)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:asset_pricing_model
|
| gptkbp:citation |
gptkb:Fama,_Eugene_F.;_French,_Kenneth_R._(1993)._'Common_risk_factors_in_the_returns_on_stocks_and_bonds.'_Journal_of_Financial_Economics._33_(1):_3–56.
|
| 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 |
| gptkbp:influenced |
gptkb:Carhart_four-factor_model
gptkb:Fama-French_five-factor_model |
| gptkbp:introducedIn |
1992
|
| gptkbp:marketFactor |
excess return on the market
|
| gptkbp:publishedIn |
gptkb:Journal_of_Financial_Economics
|
| gptkbp:sizeFactor |
gptkb:SMB_(Small_Minus_Big)
|
| gptkbp:usedFor |
asset pricing
explaining stock returns portfolio analysis |
| gptkbp:valueFactor |
gptkb:HML_(High_Minus_Low)
|
| gptkbp:bfsParent |
gptkb:Kenneth_French
gptkb:The_Cross-Section_of_Expected_Stock_Returns |
| gptkbp:bfsLayer |
6
|
| https://www.w3.org/2000/01/rdf-schema#label |
Fama-French three-factor model
|