A five-factor asset pricing model

By Eugene F. Fama, Kenneth R. French. 2013

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Citations in the corpus

Sufficient Forecasting Using Factor Models (2015, methodology): “…the same reason, factor models have been widely employed in many applications, such as portfolio management (Fama and French, 1992; Carhart, 1997; Fama and French, 2015; Hou et al., 2015), large-scale multiple testing (Leek and Storey, 2008; Fan et al., 2012), high-dimensional covariance matrix…”
A Transaction-Cost Perspective on the Multitude of Firm Characteristics (2020, unknown): “…of the out-of-sample returns of the regularized parametric portfolio onto three sparse factor models from the literature: the Fama and French (1993) and Carhart (1997) four-factor model (FFC), the Fama and French (2015) five-factor model (FF5), and the Hou et al. (2014) four-factor model (HXZ).”
Dissecting Characteristics Nonparametrically (2020, unknown): “They employ Fama and MacBeth (1973) regressions to combine the information in multiple characteristics. Lewellen (2015) jointly studies the predictive power of 15 characteristics and finds that only a few are significant predictors for the cross section of expected returns. Green, Hand, and Zhang (2”
The History of the Cross Section of Stock Returns (2016, unknown): “Both Fama and French (2015, 2017) and Hou et al. (2015) add profitability and investment factors to the three-factor model.”
The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation (2020, unknown): “We restricted attention to the five factors of Fama and French (2015), so the nature of the factors was given.”
A diagnostic criterion for approximate factor structure (2016, methodology): “The three factors of Fama and French (1993) are the monthly excess return rm,t on CRSP NYSE/AMEX/Nasdaq value-weighted market portfolio over the risk free rate, and the monthly returns on zero-investment factormimicking portfolios for size and book-to-market, denoted by rsmb,t and rhml,t.”
Size and value in China (2019, unknown): “3 Examples of such studies include include Yang and Chen (2003) , Fan and Shan (2004) , Wang and Chin (2004) , Chen et al.”
Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns (2016, methodology): “…Hou, and Teoh (2009), Polk and Sapienza (2009), Hirshleifer and Jiang (2010), Li and Zhang (2010), Hirshleifer, Teoh, and Yu (2011), Lewellen (2011), Stambaugh, Yu, and Yuan (2012), Avramov, Chordia, Jostova, and Philipov (2013), Novy-Marx (2013), Hou et al. (2015), and Fama and French (2015).”