About this document

Fama-French Multi-Factor Model Overview by Junaid Razzaq is a document available to read on EtoBox.

The document discusses multi-factor models of risk and returns, including the Fama-French model. It explains that Fama and French identified small firm size and high book-to-market ratios as factors influencing stock returns. It outlines the steps to calculate size premium, book-to-market premium, and develop a multi-factor model like Fama-French to predict stock returns based on sensitivity to various risk factors. The document also briefly mentions the arbitrage pricing theory and alternative macroeconomi

Author

Junaid Razzaq

Language

EN