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Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
CESifo Working Paper No. 4197
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) – the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the SMB and HML portfolios, is significantly improved by the inclusion of the HML factor. The component of the risk premia explained by consumption varies across size. We suggest that a possible explanation for the role of HML is its association with the investment growth prospects of firms.
Schlagwörter: 
C-CAPM
asset pricing
Fama-French factors
JEL: 
G12
Dokumentart: 
Working Paper
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