Talk:Fama and French three-factor model

Feel free to develope this page Blbarnitz 23:17, 11 January 2009 (UTC)


 * Page freely developed. Will ask for review help in the forum. LadyGeek 18:17, 2 May 2009 (UTC)

Forum thread: http://www.bogleheads.org/forum/viewtopic.php?t=36988&mrr=1241291198 LadyGeek 19:38, 2 May 2009 (UTC)

Reader feedback: I was Looking for the Assump...
121.52.156.42 posted this comment on 5 December 2013 (view all feedback).

"I was Looking for the Assumptions and Limitations of Famma and French Three Factor Model. but i could not find."

Any thoughts?

Blbarnitz 03:05, 5 December 2013 (CST)

I don't think there are any modeling assumptions, i.e. we assume the following..., just information on how the model's dataset was constructed. You can find the details in the references at the bottom of the wiki article Fama and French three-factor model. This one might help: Understanding Risk and Return, the CAPM, and the Fama-French Three-Factor Model. Additionally, an implied assumption is that past performance (this model) cannot predict future performance (what you are attempting to do with the information).

As for limitations, the model is really one of curve-fitting to past performance. The datasets are constantly changing; so I think that modeling limitations are somewhat qualitative. You can get the latest model, along with its detailed descriptions, on Ken French's website: Kenneth R. French - Data Library.

--LadyGeek 19:00, 8 December 2013 (CST)

Reader feedback: Here I found 2 typos: 1, The...
208.59.157.51 posted this comment on 12 January 2015 (view all feedback).

"Here I found 2 typos: 1, The horizontal axis (X-axis) is the 'Value' factor, represented as SMB (should be HML); 2, The vertical axis (Y-axis) is the 'Size' factor, represented as HML (should be SMB)"

Agree, I double-checked against the referenced paper. Multifactor LadyGeek 20:45, 12 January 2015 (CST)