Asset pricing models: a comparison

• Autores: Edward R. Lawrence, John Geppert, Arun J. Prakash
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 17, Nº. 10-12, 2007, págs. 933-940
• Idioma: inglés
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• Resumen

  • We empirically test and compare the performance of the traditional capital asset pricing model (CAPM), the three-moment CAPM and the Fama-French (FF) three-factor model using the FF 25 portfolios data. Based on the time-series and the cross-sectional tests, the FF three-factor model outperforms the other models. In the cross-sectional tests, the three-moment CAPM has a higher R2 than CAPM but in the time-series regression, the performances of CAPM and the three-moment CAPM are comparable.