Asset pricing models: A comparison Article

cited authors

  • Lawrence, ER; Geppert, J; Prakash, AJ

fiu authors

abstract

  • We empirically test and compare the performance of the traditional capital asset pricing model (CAPM), the three-moment CAPM and the Fama-French (FF) three-factor model using the FF 25 portfolios data. Based on the time-series and the cross-sectional tests, the FF three-factor model outperforms the other models. In the cross-sectional tests, the three-moment CAPM has a higher R2 than CAPM but in the time-series regression, the performances of CAPM and the three-moment CAPM are comparable.

publication date

  • July 1, 2007

Digital Object Identifier (DOI)

start page

  • 933

end page

  • 940

volume

  • 17