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1. 1. Book-to-Market Effect and Fama French Model in Bear – Bull Markets

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Oguz Ersan; [2008]
   Nyckelord :Asset Pricing Models; Bear - Bull Markets; Fama French Three Factor Model; Book-to-Market Effect;

   Sammanfattning : Book-to-market Effect is one of the facts that cannot be explained by market factor in CAPM. The premium between the returns on high and low B/M portfolios is asserted to be the compensation for the associated risk, therefore HML risk factor was formed in order to capture the risk premium in the studies of Fama and French (1992, 1993, 1996). LÄS MER