The three-factor model without a linear return generating process [r-libre/2405]

Bergeron, Claude (2021). The three-factor model without a linear return generating process. Economics Bulletin, 41 (3), 1763-1772.

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PDF - H-RLibreEB2021VanderbiltUniv-USA.pdf
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Catégorie de document :	Articles de revues
Évaluation par un comité de lecture :	Oui
Étape de publication :	Publié
Résumé :	From a theoretical point of view, the Fama and French three-factor model requires the following implicit assumptions: (i) the excess return of an asset is correlated with market, size, and book-to-market factors, and (ii) the return generating process is linear. In this note, we demonstrate that the linearity assumption of the return generating process can be relaxed. This suggests that assumption (i) alone is sufficient for the three-factor model.
Adresse de la version officielle :	http://www.accessecon.com/Pubs/EB/2021/Volume41/EB...
Déposant:	Bergeron, Claude
Responsable :	Claude Bergeron
Dépôt :	05 oct. 2021 18:16
Dernière modification :	05 oct. 2021 18:16

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