FamaFrench_5factors_图文.doc

FamaFrench_5factors_图文 导读：就爱阅读网友为您分享以下“FamaFrench_5factors_图文”的资讯，希望对您有所帮助，感谢您对92的支持! First draft: June 2013 This draft: September 2014 A Five-Factor Asset Pricing Model Eugene F. Fama and Kenneth R. French* Abstract A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF 1993). The five-factor model?s main problem is its failure to capture the low average returns on small stocks whose returns behave like those of firms that invest a lot despite low profitability. The model?s performance is not sensitive to the way its factors are defined. With the addition of profitability and investment factors, the value factor of the FF three-factor model becomes redundant for describing average returns in the sample we examine. ? ?Booth School of Business, University of Chicago (Fama) and Amos Tuck School of Business, Dartmouth College. (French). Fama and French are consultants to, board members of, and shareholders in Dimensional Fund Advisors. Robert Novy-Marx, Tobias Moskowitz, and ?ubo? Pástor provided helpful comments. John Cochrane, Savina Rizova, and the referee get special thanks.? ?? There is much evidence that average stock returns are related to the book-to-market equity ratio, B/M. There is also evidence