The five-factor asset pricing model – A theoretical review and assessment
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In: Management Studies, Vol. 9, No. 1, 31.03.2019, p. 2-7.
Research output: Journal contributions › Journal articles › Research › peer-review
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TY - JOUR
T1 - The five-factor asset pricing model – A theoretical review and assessment
AU - Bouzzine, Yassin Denis
AU - Müller-Bosse, Sebastian
AU - Steen, Hendrik
AU - Trautberg, Mario
AU - Wöhlert, Marius
PY - 2019/3/31
Y1 - 2019/3/31
N2 - 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.
AB - 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.
KW - Management studies
M3 - Journal articles
VL - 9
SP - 2
EP - 7
JO - Management Studies
JF - Management Studies
SN - 2699-1187
IS - 1
ER -