Research on Application of Fama-French Three-Factor Model in Asset Allocation

DOI

10.2991/aebmr.k.220307.319How to use a DOI?

Keywords

Capital asset pricing model; Fama-French three-factor model; Asset allocation

Abstract

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.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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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  -