摘要：Using return data for all stocks continuously traded on the NYSE over the period July, 1963 to December, 2006, we test the performance of the two-moment Capital Asset Pricing Model (CAPM) and the Fama French three-factor model in explaining individual stock returns. We find the performance of Fama French three-factor model to be marginally better than the CAPM. We further test the models for the significance and stability of parameters in the bull/bear periods and the Federal increasing/decreasing interest rate periods and find the performance of the two models comparable.
