Research on Application of Fama-French Three-Factor Model in Asset Allocation
- 10.2991/aebmr.k.220307.319How to use a DOI?
- Capital asset pricing model; Fama-French three-factor model; Asset allocation
As the index of living standard is rising in the recent decades, more and more people join the stock market or have the demand to allocate their assets. That stimulates the appearance of the capital asset pricing model, the Fama-French model, and some other models that are helpful for asset allocation. This paper combs through the development of these models by doing the literature reviews. After listing several examples of expansion to the models, it is natural to conclude that the following research in this field might focus on the specialty of the Fama-French model in different countries and areas or come up with some new factors that influence asset pricing. Also, frequent application of the Fama-French model in the stock market would be consistent in the future with a probable trend of adding some new methods such as artificial neural networks. This paper attempts to introduce some traditional asset pricing models like CAPM and the Fama-French model, along with their expansion in aspects of adding factors or new tools in recent years, then provide a suggestion of specific and innovative research.
- © 2022 The Authors. Published by Atlantis Press International B.V.
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Cite this article
TY - CONF AU - Yifan Chu PY - 2022 DA - 2022/03/26 TI - Research on Application of Fama-French Three-Factor Model in Asset Allocation BT - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022) PB - Atlantis Press SP - 1941 EP - 1945 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.220307.319 DO - 10.2991/aebmr.k.220307.319 ID - Chu2022 ER -