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Asset pricing models: a comparison

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We empirically test and compare the performance of the traditional capital asset pricing model (CAPM), the three-moment CAPM and the Fama-French (FF) three-factor model using the FF 25 portfolios data. Based on the time-series and the cross-sectional tests, the FF three-factor model outperforms the other models. In the cross-sectional tests, the three-moment CAPM has a higher R2 than CAPM but in the time-series regression, the performances of CAPM and the three-moment CAPM are comparable.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/09603100600892863

Affiliations: 1: Department of Finance, College of Business Administration, Florida International University, Miami, FL 33199, USA 2: University of Nebraska, Lincoln, USA

Publication date: July 1, 2007

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