Definition for : Fama-French model
GLOSSARY LETTER
The Fama-French model, as well as other offshoots from APT, tries to explain historical Return by company-specific factors rather than the general macroeconomic factors in APT. This model isolates three factors: Market return, price-to-Book ratio, and the gap in Returns between large caps and small caps.
(See Chapter 19 The required rate of return of the Vernimmen)
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