PASTOR STAMBAUGH MODEL & FAMA FRENCH MODEL (NOV 2020 Q2)
Автор: mDarasa Learning Hub-MLH
Загружено: 2023-10-23
Просмотров: 374
The Fama-French model takes into account three factors to explain the expected returns on a portfolio or an individual stock:
Market Risk (Market Factor): This factor is similar to the beta in the CAPM. It measures the excess return of the overall market, typically represented by the S&P 500. It is a measure of systematic risk.
Size Factor (SMB, Small Minus Big): This factor accounts for the historical outperformance of small-cap stocks over large-cap stocks. It suggests that smaller companies tend to have higher returns.
Value Factor (HML, High Minus Low): This factor considers the historical outperformance of value stocks compared to growth stocks. It implies that value stocks, which are considered undervalued by traditional valuation metrics, tend to have higher returns.
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