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題 名 | An Empirical Study Comparing the CAPM and the Fama-French 3-Factor Model |
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作 者 | Huang, Hueng-ming; Cai, Yu; Qi, Howard; | 書刊名 | Academy of Taiwan Business Management Review |
卷 期 | 3:3 2007.12[民96.12] |
頁 次 | 頁32-37 |
分類號 | 494 |
關鍵詞 | |
語 文 | 英文(English) |
英文摘要 | Both the Fama-French 3-Factor Model and the CAPM are all regression-type of models, depending on historical data. Which model is better is a still an open question. This study provides an extensive and rigorous empirical study based on several statistical tests. We tested data from twelve industries. Our results show that, contrary to many in existing literature, on an aggregate level, the two models behave fairly similarly, and the CAPM tends to outperform the Fama-French 3-Factor Model for more sectors, however, the difference in some cases is not significant. In hindsight, these two models have similar predictive power and surprisingly the CAPM appears to be slightly better. |
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