Dissecting Anomalies with a Five-Factor Model

• 成果类型: Article
• 署名作者: Fama, Eugene F.; French, Kenneth R.
• 署名单位: University of Chicago; Dartmouth College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv043
• 发表日期: 2016
• 页码: 69
• 关键词: returns; RISK; equilibrium; EFFICIENCY; valuation; prices

摘要

A five-factor model that adds profitability (RMW) and investment (CMA) factors to the three-factor model of Fama and French (1993) suggests a shared story for several average-return anomalies. Specifically, positive exposures to RMW and CMA (stock returns that behave like those of profitable firms that invest conservatively) capture the high average returns associated with low market beta, share repurchases, and low stock return volatility. Conversely, negative RMW and CMA slopes (like those of relatively unprofitable firms that invest aggressively) help explain the low average stock returns associated with high beta, large share issues, and highly volatile returns.