A Simple Model of Intertemporal Capital Asset Pricing and Its Implications for the Fama French Three Factor Model

Topics:
Investment and Capital Markets
Tags:
Asset,
Smb/Sme,
Portfolio,
Operational Planning,
Investment Opportunity,
Investment,
Finance,
Business Operations,
Asset Pricing,
Asset Management,
...
Source:
University of California

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Overview: The white paper presents a model which suggests that the prices of certain portfolios that are related to the FamaFrench HML and SMB hedge portfolios that will carry information about investment opportunities, which provides a potential justification for the risk premia that, have been found to be associated with these hedge portfolios. Evidence that the FF portfolios are in fact associated with variation in the investment opportunity set is found from an analysis of stock returns.

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Format: PDF | Size: 546KB | Date: Feb 2002 | Pages: 61

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