Fama and French three factor model is based on market risk premium factor and two other factors. A) What are the two other factors and B) how can they be calculated? C) What are the two factors proxy for and D) how?

Fama and French three factor model is based on market risk premium factor and two other factors. A) What are the two other factors and B) how can they be calculated? C) What are the two factors proxy for and D) how?

Financial Management: Theory & Practice

16th Edition

ISBN:9781337909730

Author:Brigham

Publisher:Brigham

Chapter25: Portfolio Theory And Asset Pricing Models

Section: Chapter Questions

Problem 4P

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Q:
Fama and French three factor model is based on
market risk premium factor and two other factors.
A) What are the two other factors and
B) how can they be calculated?
C) What are the two factors proxy for and D) how?

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