CAPM or the Fama-French model may have limited capacity to describe REIT returns (Chiang et al., 2008). In this respect, considering the potential for different macroeconomic and industry specific conditions to have positive/negative impacts on the return of REIT shares, expanding Fama-French mode...
This study empirically tests and compares the performances of three famous financial asset valuation models in the Moroccan stock exchange: CAPM, the Fama and French three-factor model, and the Fama and French five-factor model. Our sample considers monthly data covering the sample period of July...
Based on Fama and French (2015) and Carhart (1997), RMW and WML are common risk factors. A fall in these premiums following a rise in financial distress and probability of liquidity crisis, contradicts Fama and French (1996) and the Efficient Market Hypothesis. These results also fail to ...
The Fama–French model suggests that the factors driving average returns are common across all assets and industries. As such, it is appropriate to use the factor weightings present in the whole market portfolio as a comparison against industry-specific returns to capture the behaviour and ...