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Open Access Publications from the University of California

An Empirical Study of Capital Asset Pricing Model and Fama-French Three-Factor Model

  • Author(s): Choi, Soo Woo
  • Advisor(s): Wu, Yingnian
  • Christou, Nicolas
  • et al.
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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