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).
KeywordsReal Estate Asset Price Risky Asset Equity Return Real Estate Market
Unable to display preview. Download preview PDF.