The literature has shown that there are numerous empirical regularities that are unexplained by market beta leading to the development of the Fama-French model. This section provides an overview of the relevant asset pricing theories that motivate this model and build the theoretical foundations of this study. The CAPM (Section 2.1.1) has constituted the null hypothesis in many empirical studies and is rejected by the Fama- French model. Fama and French (1996) argue that their model may be consistent with the ICAPM (Section 2.1.2) or the APT (Section 2.1.3).
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Rights and permissions
Copyright information
© 2009 Gabler | GWV Fachverlage GmbH
About this chapter
Cite this chapter
Michel, G. (2009). Literature Review. In: Real Estate Risk in Equity Returns. Gabler. https://doi.org/10.1007/978-3-8349-9496-7_2
Download citation
DOI: https://doi.org/10.1007/978-3-8349-9496-7_2
Publisher Name: Gabler
Print ISBN: 978-3-8349-1769-0
Online ISBN: 978-3-8349-9496-7
eBook Packages: Business and EconomicsEconomics and Finance (R0)