Influence of EV/EBIT on the Fama French Three Factors Model
DOI:
https://doi.org/10.56028/aemr.6.1.534.2023Keywords:
EV/EBIT, Fama French Three Factors Model.Abstract
The Fama French Three Factors model is one of the most common financial models used to predict portfolio returns. In my research, I add one more element, EV/EBIT, to test whether the value of EV/EBIT might influence the accuracy of the Fama French three factors Model. As a result, EV/EBIT doesn’t explain by the Fama French Three Factors Model. Companies with low EV/EBIT tend to get lower alpha than companies with high EV/EBIT, implying that EV/EBIT affects the accuracy of the Fama French Three Factors Model.
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Published
2023-07-18