{"product_id":"comparison-of-the-capm-the-fama-french-three-factor-model-and-modifications-von-christoph-lohrmann","title":"Comparison of the CAPM, the Fama-French Three Factor Model and Modifications","description":"\u003cp\u003eSeminar paper from the year 2014 in the subject Economics - Finance, grade: 6,0 (Schweizer Notensystem), University of Liechtenstein, früher Hochschule Liechtenstein, language: English, abstract: This paper is focused on comparing the Capital Asset Pricing Model, the Fama-French Three Factor model and two modified versions of the Fama-French Model in their ability to explain excess returns. The first modified model contains the same explanatory variables as the Fama-French Model but with an additional AR(1) process. The second modification contains instead of an additional AR(1) an AR(2) process. \u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eEvaluated by the adjusted R² and the Akaike information criterion, the Fama-French model yields a higher model-fit than the CAPM. The modified Fama-French Model with an AR(2) process leads to significant results for the twice lagged return in the model in four out of six tested portfolios. Therefore, the in-sample regression reveals a higher model-fit of the modified Fama-French model with AR(2) in comparison to the other three models. \u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eSince the results differ from a regression in the subsequent period, the results are most likely spurious. Nevertheless, the authors show the high-er model-fit of the Fama-French Three Factor Model in relation to the CAPM.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783668032248\"\u003e\u003ch3\u003e\u003c\/h3\u003e\u003c\/div\u003e","brand":"Libri","offers":[{"title":"Softcover - 9783668032248","offer_id":39442018795613,"sku":"9783668032248","price":18.95,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/fa2b9062-0835-4779-935b-9df4fe9e4569.jpg?v=1778219046","url":"https:\/\/shop.autorenwelt.de\/products\/comparison-of-the-capm-the-fama-french-three-factor-model-and-modifications-von-christoph-lohrmann","provider":"Autorenwelt Shop","version":"1.0","type":"link"}