TESTING THE VALIDITY OF CAPITAL ASSET PRICING AND THE FAMA AND
FRENCH MODELS IN THE STOCK EXCHANGES OF G7 COUNTRIES

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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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Bibliographic Details
Main Author:	Ma, Lianjie
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2021
Online Access:	https://eprints.nottingham.ac.uk/66392/

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