The Value Premium And The CAPM  

Oleh:

Fama, Eugene F. ; French, Kenneth R.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 5 (Okt. 2006), page 2163-2186.
Topik: capm; studies; CAPM; rates of return; regression analysis; beta
Fulltext: p 2163.pdf (264.03KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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We examine : (1) how value premium vary with firm size (2) whether the CAPM explains value premiums, and (3) whether in general average returns compensate B in the way predicted by the CAPM. Loughran's (1997) evidence for a weak value premium among large firms is special to 1963 to 1995. US stocks and the book to market value growth indicator. Ang and Chen's (2005) evidence that the CAO can explain US value premium is special to 1926 to 1963. The CAPM's more general problem is that variation in B unrelated to size and the value growth characteristic goes unrewarded throughput 1926 to 2004.

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