Bodie Marcus INVESTMENTS Fourth Edition Multifactor models Use factors in addition to market return Examples include industrial production, expected intiation etc Estimate a beta for each factor using multipl regression ■ Fama and french Returns a function of size and book-to-market value as well as market returns Irwvin/McGrazo-Hill 10-15 The McGraw-Hill Companies, Inc, 1999Irwin/McGraw-Hill 10-15 © The McGraw-Hill Companies, Inc., 1999 INVESTMENTS Fourth Edition Bodie Kane Marcus Multifactor Models Multifactor Models „ Use factors in addition to market return - Examples include industrial production, expected inflation etc. - Estimate a beta for each factor using multiple regression „ Fama and French - Returns a function of size and book-to-market value as well as market returns