A five-factor asset pricing model英文资料.pdfVIP

Journal of Financial Economics 116 (2015) 1–22 Contents lists available at ScienceDirect Journal of Financial Economics journal homepage: /locate/jfec A five-factor asset pricing model $ Eugene F. Fama a, Kenneth R. French b,n a Booth School of Business, University of Chicago, USA b Tuck School of Business, Dartmouth College, Hanover, NH 03750, USA a r t i c l e i n f o a b s t r a c t Article history: A five-factor model directed at capturing the size, value, profitability, and investment Received 12 May 2014 patterns in average stock returns performs better than the three-factor model of Fama and Received in revised form French (FF, 1993). The five-factor models main problem is its failure to capture the low 13 August 2014 average returns on small stocks whose returns behave like those of firms that invest a lot Accepted 11 September 2014 Available online 29 October 2014 despite low profitability. The models performance is not sensitive to the way its factors are defined. With the addition of profitability and investment factors, the value factor of JEL classification: the FF three-factor model becomes redundant for describing average returns in the G12 sample we examine. 2014 Elsevier B.V. All rights reserved. Keywords: Asset pricing model Factor model Dividend dis