What do the Fama–French factors add to C-CAPM?

This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) — the Fama–French factors. C-CAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the SMB an...

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Published inJournal of empirical finance Vol. 22; pp. 113 - 127
Main Authors Abhakorn, Pongrapeeporn, Smith, Peter N., Wickens, Michael R.
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.06.2013
Subjects
Capital returns
Consumption
Equity return
France
Investment
Market
No-arbitrage condition
Risk premium
Size of enterprise
Stochastic discount factor
Value
Risk premium
C32
E44
G12
G14
No-arbitrage condition
Equity return
Stochastic discount factor
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Abstract This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) — the Fama–French factors. C-CAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the SMB and HML portfolios, is significantly improved by the inclusion of the HML factor. The component of the risk premia explained by consumption varies across size. We suggest that a possible explanation for the role of HML is its association with the investment growth prospects of firms. •We extend the standard C-CAPM by including SMB and HML factors.•Inclusion of HML improves the fit of low book-to-market portfolios, SMB and HML.•Consumption premium varies across size.•Possible explanation for HML is its association with investment prospects of firms.
AbstractList This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) - the Fama-French factors. C-CAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the SMB and HML portfolios, is significantly improved by the inclusion of the HML factor. The component of the risk premia explained by consumption varies across size. We suggest that a possible explanation for the role of HML is its association with the investment growth prospects of firms. All rights reserved, Elsevier
This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) — the Fama–French factors. C-CAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the SMB and HML portfolios, is significantly improved by the inclusion of the HML factor. The component of the risk premia explained by consumption varies across size. We suggest that a possible explanation for the role of HML is its association with the investment growth prospects of firms. •We extend the standard C-CAPM by including SMB and HML factors.•Inclusion of HML improves the fit of low book-to-market portfolios, SMB and HML.•Consumption premium varies across size.•Possible explanation for HML is its association with investment prospects of firms.
Author Wickens, Michael R.
Smith, Peter N.
Abhakorn, Pongrapeeporn
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  surname: Wickens
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10.1016/0304-405X(81)90018-0
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C32
E44
G12
G14
No-arbitrage condition
Equity return
Stochastic discount factor
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Snippet This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) — the Fama–French...
This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) - the Fama-French...
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elsevier
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StartPage 113
SubjectTerms Capital returns
Consumption
Equity return
France
Investment
Market
No-arbitrage condition
Risk premium
Size of enterprise
Stochastic discount factor
Value
Title What do the Fama–French factors add to C-CAPM?
URI https://dx.doi.org/10.1016/j.jempfin.2013.04.002
https://search.proquest.com/docview/1504158779
Volume 22
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