Fama-French three-factor model
GPTKB entity
Properties (56)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
financial model
|
| gptkbp:appliesTo |
equity markets
|
| gptkbp:developedBy |
gptkb:Eugene_Fama
gptkb:Kenneth_French |
| gptkbp:hasCitations |
does not account for momentum
assumes_linear_relationships |
| gptkbp:hasCompetitors |
Arbitrage Pricing Theory
multi-factor models |
| https://www.w3.org/2000/01/rdf-schema#label |
Fama-French three-factor model
|
| gptkbp:improves |
CAPM
|
| gptkbp:includes |
market risk
size risk value risk |
| gptkbp:introduced |
1993
|
| gptkbp:isAttendedBy |
financial analysts
investment firms quantitative analysts financial researchers |
| gptkbp:isBasedOn |
empirical research
|
| gptkbp:isChallengedBy |
newer models
alternative theories |
| gptkbp:isConsidered |
a foundational model in finance
a benchmark model |
| gptkbp:isCriticizedFor |
overfitting
lack of theoretical foundation not incorporating macroeconomic factors simplifying complex market behaviors |
| gptkbp:isDiscussedIn |
financial conferences
investment seminars |
| gptkbp:isEvaluatedBy |
performance metrics
|
| gptkbp:isExaminedBy |
research papers
financial literature finance textbooks |
| gptkbp:isExploredIn |
graduate finance courses
investment analysis courses |
| gptkbp:isInfluencedBy |
market anomalies
behavioral finance |
| gptkbp:isPartOf |
gptkb:Fama-French_models
modern portfolio theory |
| gptkbp:isReflectedIn |
investment strategies
risk premiums |
| gptkbp:isRelatedTo |
risk factors
portfolio management factor investing |
| gptkbp:isSupportedBy |
historical data
empirical evidence |
| gptkbp:isTrainedIn |
academic studies
|
| gptkbp:isUsedBy |
institutional investors
hedge funds evaluate mutual funds assess stock performance |
| gptkbp:isUsedIn |
finance
|
| gptkbp:isUtilizedIn |
risk management
performance attribution |
| gptkbp:provides |
explanatory power
|
| gptkbp:usedFor |
asset pricing
|