Fama-French replaced CAPM’s beta with size and book-to-market factors.

Evidence

In the Fama-French model, beta plays no role. In its place are two different factors: firm size (the total market value of a corporation’s stocks) and “book-to-market” ratio (the ratio of a corporation’s net assets as recorded in its balance sheet to its market value). — Donald MacKenzie, An Engine, Not a Camera, 431

Categorization

• DEFINE: Defines the two Fama-French factors that structure the model.
• XREF: connects to: Fama attributed anomalies to CAPM flaws, not market inefficiency. — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 430; Early CAPM believers later turned against it through theoretical work — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 402

Broader Connections

• Fama attributed anomalies to CAPM flaws, not market inefficiency. #expands (0.85) — Donald MacKenzie, An Engine, Not a Camera, 430
• Early CAPM believers later turned against it through theoretical work #responds-to (0.70) — Donald MacKenzie, An Engine, Not a Camera, 402