Comparison of the CAPM, the Fama-French Three Factor Model and Modifications


Term Paper, 2014

36 Pages, Grade: 6,0 (Schweizer Notensystem)


Excerpt


Table of Contents

1 Introduction to Risk and Return

2 Modeling Risk
2.1 Capital Asset Pricing Model
2.2 Fama-French Three-Factor-Model
2.3 Modified Fama-French Models

3 Methodology, Portfolios and Data
3.1 Time-Series Data
3.2 Procedure of the Regression
3.3 Conducting the Regression

4 Evaluation of the Regression Results

5 Conclusion

List of References

Figures

Tables

List of Abbreviations

Appendix

Second Examination Period (1990 – 2014)

R-Code

Excerpt out of 36 pages

Details

Title
Comparison of the CAPM, the Fama-French Three Factor Model and Modifications
College
University of Liechtenstein, früher Hochschule Liechtenstein
Grade
6,0 (Schweizer Notensystem)
Author
Year
2014
Pages
36
Catalog Number
V304738
ISBN (eBook)
9783668032231
ISBN (Book)
9783668032248
File size
1014 KB
Language
English
Keywords
comparison, capm, fama-french, three, factor, model, modifications
Quote paper
Christoph Lohrmann (Author), 2014, Comparison of the CAPM, the Fama-French Three Factor Model and Modifications, Munich, GRIN Verlag, https://www.grin.com/document/304738

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