CAPM. The Fama French three factor model cross section and time series test

Seminar paper from the year 2013 in the subject Business economics - Investment and Finance, grade: 8.5, Maastricht University, language: English, abstract: The CAPM model was developed by Sharpe (1964) and tries to give insight into the relation of risk and return characteristics of assets, in particular how risk adjusted excess returns of securities are influenced by the market. Fama and French (1996) further developed the CAPM to a three-factor model. Their aim was to enhance the explanatory ...