Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72573
Authors: 
Abhakorn, Pongrapeeporn
Smith, Peter N.
Wickens, Michael
Year of Publication: 
2013
Series/Report no.: 
CESifo Working Paper 4197
Abstract: 
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.
Subjects: 
C-CAPM
asset pricing
Fama-French factors
JEL: 
G12
Document Type: 
Working Paper

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