Dissecting Anomalies with a Five-Factor Model (Digest Summary):E.F. Fama & K.R. French, Review of Financial Studies, Vol. 29, No. 1 (January 2016), 69-103

Jackson, Antony (2016) Dissecting Anomalies with a Five-Factor Model (Digest Summary):E.F. Fama & K.R. French, Review of Financial Studies, Vol. 29, No. 1 (January 2016), 69-103. In: UNSPECIFIED CFA Institute.

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Abstract

By adding profitability and investment factors to their earlier three-factor model, the authors are able to explain the market β, net share issues, and volatility anomalies. The accruals and momentum anomalies cannot be explained by the five-factor model.

Item Type: Book Section
Additional Information: CFA Digest Summary of 'Dissecting Anomalies with a Five-Factor Model'; Eugene F. Fama and Kenneth R. French, Review of Financial Studies, Vol. 29, No. 1 (January 2016), 69-103
Faculty \ School: Faculty of Social Sciences > School of Economics
Related URLs:
Depositing User: Pure Connector
Date Deposited: 08 Mar 2017 01:44
Last Modified: 28 Nov 2018 00:51
URI: https://ueaeprints.uea.ac.uk/id/eprint/62897
DOI:

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