What do the Fama-French factors add to CCAPM?
“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.”
StrategyValue investingsize premium
TechniqueLinear factor model
GeographyEurope
InputsFundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodValue investing by year
FamilyValue investing106Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 896
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