Market Beta in the Fama–French Three-Factor Model

Summary

The document clarifies what “market beta” means in the Fama–French (1992) cross-section of expected returns. It describes the model as a generalization of CAPM: the framework uses three factor exposures, and the market beta is the exposure to the market factor, corresponding to the beta in CAPM.

The explanation is brief and conceptual. It gives no derivation, empirical evidence, or discussion of how the other factor betas are estimated or interpreted. Readers should treat it as a clarification of terminology rather than a full account of the Fama–French model or a guide to measuring risk in a particular portfolio.

Key ideas

• The Fama–French framework extends CAPM with three factor exposures.
• The market beta in the framework corresponds to CAPM beta.
• The document provides a terminology clarification rather than an empirical analysis.

Tags

# market Beta in fama french (1992)


# market Beta in fama french (1992)












i want to ask about the variable "market beta" which exist in the Fama and French article "the cross-section of expected returns (1992) . beta it does mean the measure of risk which we know it in the asset pricing model? or it's another thing?

## Answer by Alex C (score 1)

https://quant.stackexchange.com/a/36588

You can think of FF as a generalization of CAPM. CAPM has Beta, FF has three Betas: $\beta_1,\beta_2,\beta_3$. But $\beta_1$, called the "market beta" is exactly the same as the Beta in CAPM.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.