Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets

Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets

The primary objective of this dissertation is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these models,...

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Bibliographic Details
Main Author: Michaelides, Michael
Other Authors: Economics, Science
Format: Others
Published: Virginia Tech 2017
Subjects:
CAPM
Fama-French three-factor model
Fama-French five-factor model
factor selection
t-heterogeneity
Gram-Schmidt
orthonormal polynomials
statistical adequacy
misspecification testing
Student's t
volatility modeling
Online Access:http://hdl.handle.net/10919/77515

Internet

http://hdl.handle.net/10919/77515

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