Which risk premia should I use in the Fama French Three Factor Model?

07 July 2019 1 8K Report

Dear all,

I try to calculate the cost of equity with the FF3 model and already estimated the beta factors for the market, size and value risk premia by using regressions and the data provided on the Kenneth French website.

Now my question is where I can get the specific risk premia in order to calculate the return? I know that I can use the market risk premium as published by Damodaran but how do I get the other two?

I really appreciate your help!

Kind regards,

Felix

David Eugene Booth

The three factors can change, eg by country. following the literature back from this link may help you. Best, D. Booth

https://en.wikipedia.org/wiki/Fama%E2%80%93French_three-factor_model

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