The five-factor asset pricing model – A theoretical review and assessment
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Authors
The relation between expected return and risk has long been a topic for discussion and research. In this essay, we discuss the latest Fama and French (2015) five-factor model and its incorporation of the two new factors that are supposed to better explain the variation of the cross-section in expected average stock returns. By outlining recent developments of asset pricing models in general and the underlying valuation theory, we provide insights into the reasons why they augmented their three-factor model.
| Original language | English |
|---|---|
| Journal | Management Studies |
| Volume | 9 |
| Issue number | 1 |
| Pages (from-to) | 2-7 |
| Number of pages | 6 |
| ISSN | 2699-1187 |
| Publication status | Published - 31.03.2019 |
- Management studies