Are Profitability and Investment Good Proxies for Risk Factors The Analysis on Fama and French's Five-Factor Model

DOI

10.2991/msmi-16.2016.48How to use a DOI?

Keywords

Fama and French; five-factor model; asset pricing; anomalies

Abstract

The aim of this paper is to review a five-factor asset pricing model developed by Fama and French, which extends the three-factor model by incorporating two additional indicators that captured profitability and investment in average stock returns. Moreover, this paper provides a detail discussion and addresses some important issues and problems in capital asset pricing are becoming considerable topics for academic and practical research into the future.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Zheng Huang
PY  - 2016/08
DA  - 2016/08
TI  - Are Profitability and Investment Good Proxies for Risk Factors The Analysis on Fama and French's Five-Factor Model
BT  - Proceedings of the 2016 International Conference on Management Science and Management Innovation
PB  - Atlantis Press
SP  - 200
EP  - 203
SN  - 2352-5428
UR  - https://doi.org/10.2991/msmi-16.2016.48
DO  - 10.2991/msmi-16.2016.48
ID  - Huang2016/08
ER  -