What do Fama-French factors add to C-CAPM?

Pongrapeeporn Abhakorn, Peter Nigel Smith, Mike Wickens

Research output: Contribution to journalArticlepeer-review


This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) – the Fama-French factors. C-CAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the SMB and HML portfolios, is significantly improved by the inclusion of the HML factor. The component of the risk premia explained by consumption varies across size. We suggest that a possible explanation for the role of HML is its association with the investment growth prospects of firms.
Original languageEnglish
Pages (from-to)113-127
Number of pages15
JournalJournal of empirical finance
Publication statusPublished - Jun 2013

Bibliographical note

Accepted 5/4/2013


  • book to market value

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