Simpson, Marc W.; Ramchander, Sanjay - In: Journal of Empirical Finance 15 (2008) 5, pp. 801-815
This study investigates the economic underpinnings of the Fama and French three-factor (FF3) model. We evaluate the impact of surprises in 23 different types of macroeconomic announcements on stock returns in the framework of the CAPM and the FF3 model. The relative merit of the FF3 model is...
