Resource type
Thesis type
(Thesis)
Date created
2004
Authors/Contributors
Author: Liang, Yuanyuan
Abstract
This project tests the Sharpe(1964)-Lintner(1965)-Black(1972) Mean-Variance Capital
Asset Pricing Model (CAPM) and Fama-French's (1993) Three-Factor Model using the crosssectional
and multivariate tests. Four different time periods of American stock market returns
ranging from 1933 to 2003 are examined. Although both models are rejected by the multivariate
tests, Fama and French argue that the Three-Factor Model fits better in the 1963-1993 period. The
results in this paper covering different time periods from 1933 to 2003, however, do not
unambiguously support Fama and French's conclusion.
Asset Pricing Model (CAPM) and Fama-French's (1993) Three-Factor Model using the crosssectional
and multivariate tests. Four different time periods of American stock market returns
ranging from 1933 to 2003 are examined. Although both models are rejected by the multivariate
tests, Fama and French argue that the Three-Factor Model fits better in the 1963-1993 period. The
results in this paper covering different time periods from 1933 to 2003, however, do not
unambiguously support Fama and French's conclusion.
Document
Copyright statement
Copyright is held by the author.
Language
English
Member of collection
| Download file | Size |
|---|---|
| ETD0602.pdf | 2.09 MB |