Abstract

http://ssrn.com/abstract=2287202
 
 

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A Five-Factor Asset Pricing Model


Eugene F. Fama


University of Chicago - Finance

Kenneth R. French


Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER)

May 2014

Fama-Miller Working Paper

Abstract:     
A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns is rejected on the GRS test, but for applied purposes it provides an acceptable description of average returns. The model’s main problem is its failure to explain the low average returns on small stocks that invest a lot despite low profitability. The performance of the model is not sensitive to the specifics of the way its factors are defined, at least for the definitions considered here.

Number of Pages in PDF File: 53

JEL Classification: G12

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Date posted: June 30, 2013 ; Last revised: May 11, 2014

Suggested Citation

Fama, Eugene F. and French, Kenneth R., A Five-Factor Asset Pricing Model (May 2014). Fama-Miller Working Paper. Available at SSRN: http://ssrn.com/abstract=2287202 or http://dx.doi.org/10.2139/ssrn.2287202

Contact Information

Eugene F. Fama (Contact Author)
University of Chicago - Finance ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-7282 (Phone)
773-702-9937 (Fax)
Kenneth R. French
Dartmouth College - Tuck School of Business ( email )
Hanover, NH 03755
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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