A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia

33 Pages Posted: 30 Jan 2015

See all articles by Mardy Chiah

Mardy Chiah

Swinburne University of Technology

Daniel Chai

Monash University

Angel Zhong

RMIT University - School of Economics, Finance and Marketing

Multiple version iconThere are 3 versions of this paper

Date Written: January 29, 2015

Abstract

Recently, Fama and French (2014) document a five-factor model that includes the market and factors related to size, book-to-market, profitability and investment outperforms the three-factor model of Fama and French (1993). Using an extensive sample over the period 1982 to 2013, we investigate the performance of the five-factor model in pricing Australian equities. We find that the five-factor is able to explain more asset-pricing anomalies than the three-factor model, which supports the superiority of the five-factor model. In contrast to that documented in Fama and French (2014), the book-to-market factor is found to remain its explanatory power in the presence of the investment and profitability factors. Our study provides an update to the existing Australian asset pricing literature.

Keywords: Size; Book-to-market; Asset pricing; Fama-French model; Australian evidence

JEL Classification: G12

Suggested Citation

Chiah, Mardy and Chai, Daniel and Zhong, Angel, A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia (January 29, 2015). 2015 Financial Markets & Corporate Governance Conference, Available at SSRN: https://ssrn.com/abstract=2557841 or http://dx.doi.org/10.2139/ssrn.2557841

Mardy Chiah

Swinburne University of Technology ( email )

Cnr Wakefield and William Streets, Hawthorn Victor
3122 Victoria, Victoria 3122
Australia

Daniel Chai (Contact Author)

Monash University ( email )

23 Innovation Walk
Wellington Road
Clayton, Victoria 3800
Australia

Angel Zhong

RMIT University - School of Economics, Finance and Marketing ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria 3000
Australia

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
507
Abstract Views
2,807
rank
28,702
PlumX Metrics