Leseprobe
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
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- Christoph Lohrmann (Autor:in), 2014, Comparison of the CAPM, the Fama-French Three Factor Model and Modifications, München, GRIN Verlag, https://www.grin.com/document/304738
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