Soo Woo Choi
Abstract
The thesis tests performances of Capital Asset Pricing Model and Fama-French Three-Factor Model. Through an empirical study on the US stocks from January 2000 to August 2017, the thesis demonstrates that Fama-French Three-Factor model performs better than Capital Asset Pricing Model.
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The thesis tests performances of Capital Asset Pricing Model and Fama-French Three-Factor Model. Through an empirical study on the US stocks from January 2000 to August 2017, the thesis demonstrates that Fama-French Three-Factor model performs better than Capital Asset Pricing Model.
Key concepts: Capital asset pricing model, Consumption-based capital asset pricing model, Arbitrage pricing theory, Economics, Financial economics, Investment theory, Econometrics, Asset (computer security)