In the last post we performed several steps in downloading and analyzing the fund performance data. We used the Fama French’s 3 factor model to analyze Fidelity Contrafund Fund (FCNTX). In this post we will repeat the same steps without all the expla
Empirical tests are reported for Ross'[48] arbitrage theory of asset pricing. Using data for
individual equities during the 1962–72 period, at least three and probably four priced factors
are found in the generating process of returns. The theory is
Fama, E. F., & French, K. R. (2004). The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Perspectives, 18(3), 25–46. doi:10.1257/0895330042162430
Three Robeco experts on empirical asset pricing give their views. They acknowledge the major contributions Fama and French have made to the literature in the past and so studied this new research with great interest. However the debate is set to cont
