Fama & French Model in the Pricing of Capital Assets for companies listed on the stock market
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Abstract
This study aimed to reach developed models commensurate with developments in the financial markets to facilitate the process of collecting savings for surplus units and transferring them to deficit units, as well as to achieve the highest possible return with an acceptable level of risk when investing in the financial markets. The traditional model was represented by the three-factor Fama & French model in 1993. Which added the company size factor and the book value factor to the market value of the company as risk factors for the traditional CAPM model. And then developed for the four-factor Fama & French model by adding the momentum factor to reach the Fama & French five-factor model in 2014 by adding two factors to the triple model of Fama & French are represented by the profitability factor and the investment factor. And finally the model reached the hexagonal Fama & French that includes in addition to the five factors the human capital factor.
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