TESTING THE VALIDITY OF CAPITAL ASSET PRICING AND THE FAMA AND FRENCH MODELS IN THE STOCK EXCHANGES OF G7 COUNTRIES
This research aimed to see if the CAPM, FF3FM, and FF3FM could explain the abnormal portfolio return variances. The explanatory factors were the market risk factor, RM-Rf, size risk factor (SMB), BE/ME risk factor (HML), RMW, and the CMA. The FF5FM was created to put the model's results t...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2021
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| Online Access: | https://eprints.nottingham.ac.uk/66392/ |