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EMEHSS047.pdf

Article Title : Fama-French Five-Factor and CAPM Model Comparison Analysis
Author(s) : Yunqiao Guo
Corresponding Author : Yunqiao Guo
Keywords : Asset Pricing Model; CAPM Model; Fama-French Five-Factor Model; Risk Analysis.
PDF : http://download.BCPub.org/proceedings/2020/EMEHSS2020/EMEHSS047.pdf
Abstract

This essay seeks to analyze the asset pricing model with respect to excess returns of different sectors in Nasdaq and constructed back test to compare different asset pricing model strategy using historical data.

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