Comparison of a Modified and Classic Fama-French Model for the Polish Market
This paper shows a comparison of the results of return, risk, and risk price simulation by a modified and classic Fama-French model. The modified model defines the new ICAPM state variable as a function of the structure of a company’s past financial results. The model tests are run on the basis of s...
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Format: | Article |
Language: | English |
Published: |
Sciendo
2017-06-01
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Series: | Folia Oeconomica Stetinensia |
Subjects: | |
Online Access: | https://doi.org/10.1515/foli-2017-0007 |