This means that beta should be different when viewing and measuring from a 3 factor or 5 factor model since it splits everything up into its own risks with its own independent betas? Correct? since there are all equated as b1, b2, b3 , bn… according to the equation below.
The other interesting thing is that the Market Risk Factor Premium isn’t included on MSCI or morningstars risk factors section for etfs, I believe the reason for this is because it relies on macroeconomics and is a macrofactor. In this case it is its own section in a way since it relies on inflation, interest rates, economic growth etc (all providing the market premium above treasury bills)… Vs the others which are company and style related.
I appreciate any disagreement, agreement or general discussion! Please respond
#fama #french
