iSTOXX Europe Factor Indices – An Investable Access To Factor Risk Premia
The traditional Capital Asset Pricing Model (CAPM) which goes back to the 1960s suggests only one risk factor, the market factor, to be systematically priced. Over the following decades, however, empirical research observed the existence of additional factors in the attempt to explain equity returns. The first extension of the CAPM was brought forward by Fama and French (1992) who suggested an extension of the one-factor CAPM by two additional factors, size and value. They found that small-cap companies as well as companies that are relatively undervalued compared to their book value outperformed their respective counterparts. Carhart (1997) extended the “Three Factor Model” by a fourth factor, momentum. Next to these four factors, today’s models typically include a variety of additional factors such as carry or quality.
Please fill the form below to attend :