Is the Effect of the Risk Factors Vanishing by Time?


A Value portfolio is a portfolio of investments with high book-to-market ratio stocks. These portfolios return higher returns than the market average, as shown by Fama & French in their 3-factor model (Fama & French 1992, 1993). The traditional explanation for this premium was that it represented risk factors, but data has shown that the...

This content is for Pro and Enterprise members only.
Subscribe to unlock
Is the effect of the risk factors vanishing by time?


Related Posts