The five-factor asset pricing model – A theoretical review and assessment

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The five-factor asset pricing model – A theoretical review and assessment. / Bouzzine, Yassin Denis; Müller-Bosse, Sebastian; Steen, Hendrik et al.
In: Management Studies, Vol. 9, No. 1, 31.03.2019, p. 2-7.

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@article{136d3dba166b43acbc91ef913b0988ab,
title = "The five-factor asset pricing model – A theoretical review and assessment",
abstract = "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.",
keywords = "Management studies",
author = "Bouzzine, {Yassin Denis} and Sebastian M{\"u}ller-Bosse and Hendrik Steen and Mario Trautberg and Marius W{\"o}hlert",
year = "2019",
month = mar,
day = "31",
language = "English",
volume = "9",
pages = "2--7",
journal = "Management Studies",
issn = "2699-1187",
number = "1",

}

RIS

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 -

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