Who Should Invest in (Cap Weighted) Index Funds? (EP.227)
The Rational Reminder Podcast
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Is There Any Way to Know What the State Variables Are?
The ICAPM does not define the states of the world that most investors are concerned about. Fama and French's 1993 paper, Common Risk Factors in the Returns on Stocks and Bonds is important. Value stocks tend to be under distress, have high financial leverage, face substantial uncertainty in future earnings. They also tend to be riskier than gross stocks in bad economic times and only slightly less risky in good times.
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