In this paper we provide a literature review of the main factors-based asset pricing models, focusing in particular on factors related to firm characteristics. After presenting the Capital Asset Pricing Model, we describe first the most important empirical evidence that led to the well-known Fama-French three-factors model. Next, we highlight the most widely used multi-factors pricing models based on momentum, liquidity, investment and profitability, also outside the U.S. Finally, we discuss the ability of firm characteristics to predict the behavior of future stock returns.
Factors-based Asset Pricing Models: a literature review / Puopolo, GIOVANNI WALTER; Martino, Armando. - In: THE INTERNATIONAL JOURNAL OF FINANCE. - ISSN 1041-2743. - 7:(2022), pp. 37-53.
Factors-based Asset Pricing Models: a literature review
Giovanni Walter Puopolo
;
2022
Abstract
In this paper we provide a literature review of the main factors-based asset pricing models, focusing in particular on factors related to firm characteristics. After presenting the Capital Asset Pricing Model, we describe first the most important empirical evidence that led to the well-known Fama-French three-factors model. Next, we highlight the most widely used multi-factors pricing models based on momentum, liquidity, investment and profitability, also outside the U.S. Finally, we discuss the ability of firm characteristics to predict the behavior of future stock returns.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.