Fama and French (1993) conducted tests of their proposed three-factor model. What were the test asset portfolios?

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Fama and French (1993) conducted tests of their proposed three-factor model.

What were the test asset portfolios? What did they find? Discuss the results for estimated beta coefficients and goodness-of-fit of their model.

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Investment Valuation And Asset Pricing Models And Methods

ISBN: 9783031167836

1st Edition

Authors: James W. Kolari, Seppo Pynnönen

Question Posted: Mar 05, 2024 06:00 AM

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Fama and French (1993) conducted tests of their proposed three-factor model. What were the test asset portfolios?

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Answer In their 1993 paper Fama and French conducted tests of their proposed threefactor model using various asset portfolios The test asset portfolios used in their study included Market Portfolio MKT This portfolio ...View the full answer

Investment Valuation And Asset Pricing Models And Methods

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