Das Fama-French Modell und seine Nachfahren: Welche Erkenntnisse verbergen sich im Rauschen von Daten und Methoden? (The Fama-French Model and its Successors: What Insights can be Gained Behind the Noise of Data and Methods?)

German Abstract: Das im Jahre 1993 veroffentlichte Fama-French-Modell ist heute zum Standardmodell zur Erklarung von Aktienrenditen geworden. Trotz seiner eher unbefriedigenden theoretischen Fundierung und seiner empirischen Schwachen hat sich bislang kein Alternativmodell etabliert. Allerdings haben Fama und French jungst selbst eine Erweiterung des Modells zur Beseitigung einiger dieser Schwachen vorgeschlagen. Wir geben in diesem Beitrag einen kurzen Uberblick zur Entwicklung und zu den Diskussionen rund um das Fama-French-Modell. Im Hauptteil des Beitrags zeigen wir dann im Einklang mit der jungeren Literatur, dass die empirische Performance des Modells deutlich besser wird, wenn man implizite Renditen als alternativen Schatzer fur erwartete Renditen nimmt, anstatt hierfur, wie bislang ublich, realisierte Rendite zu verwenden. Insgesamt deuten unsere Ergebnisse darauf hin, dass das Fama-French-Modell den wesentlichen Teil der Variation in den erwarteten Renditen in robuster Weise erklaren kann.English Abstract: The Fama-French model, published in 1993, is nowadays the standard model in explaining stock returns. Despite its rather unsatisfying theoretical foundation and its empirical shortcomings, so far no alternative model has taken root. However, Fama and French recently proposed an extension of the model to resolve some of these shortcomings.In this article, we provide a short summary of the evolution and the discussion of the Fama-French model. Furthermore, consistent with recent studies, we demonstrate that the empirical performance of the model considerably improves when implicit returns are taken as a proxy for expected returns instead of the commonly used realized returns. Overall, our results indicate that the Fama-French model robustly explains a substantial part of the cross-sectional variation in expected returns.

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