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Applied Economics Letters Volume 24, 2017 - Issue 6
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Original Articles

A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model

François-Eric RacicotTelfer School of Management, University of Ottawa, Ottawa, ON, Canada;Groupe de Recherche en Finance Appliquée (GReFA), University of Sherbrooke, Sherbrooke, QC, Canada;CPA-Canada Accounting and Governance Research Centre, University of Ottawa, Ottawa, ON, Canada;Corporate Reporting Chair, EGS-UQAM, Montreal, CanadaCorrespondence[email protected]
&
William F. RentzTelfer School of Management, University of Ottawa, Ottawa, ON, Canada
Pages 410-416 | Published online: 04 Jul 2016

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Jakub Bandurski & Łukasz Postek. (2023) Nonlinear dependencies in the Fama and French three-factor model. Investment Analysts Journal 52:2, pages 106-131.
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Rahul Roy. (2023) Is the six-factor asset pricing model discounting the global returns?. Macroeconomics and Finance in Emerging Market Economies 16:1, pages 95-136.
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Hyoungjong Kim. (2022) A finite sample correction for the panel Durbin–Watson test. Applied Economics 54:28, pages 3197-3205.
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Fahad Ali, Muhammad Usman Khurram & Yuexiang Jiang. (2021) The Five-Factor Asset Pricing Model Tests and Profitability and Investment Premiums: Evidence from Pakistan. Emerging Markets Finance and Trade 57:9, pages 2651-2673.
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Sayantan Kundu & Aditya Banerjee. (2021) Predictability of earnings and its impact on stock returns: Evidence from India. Cogent Economics & Finance 9:1.
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Shaun Cox & James Britten. (2019) The Fama-French five-factor model: Evidence from the Johannesburg Stock Exchange. Investment Analysts Journal 48:3, pages 240-261.
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Kisung Yang, Myeong Hyeon Kim & Young Min Kim. (2019) Financial connectedness revisited: the role of Fama-French risk factors. Applied Economics Letters 26:10, pages 850-856.
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Articles from other publishers (16)

Xiaofan Bai. (2023) An Empirical Study of NASDAQ Composite based on the Asset Pricing Models. Highlights in Business, Economics and Management 10, pages 404-409.
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Asmâa Alaoui Taib & Safae Benfeddoul. (2023) The Empirical Explanatory Power of CAPM and the Fama and French Three-Five Factor Models in the Moroccan Stock Exchange. International Journal of Financial Studies 11:1, pages 47.
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Mohsen Lotfi, Afsaneh Delshad & Marzieh Assadi. (2023) A Comparative Analysis of the Predictive Ability of Cash Flow and Accounting Profit Components for Stock Returns: Evidence from the Fama and French Model. SSRN Electronic Journal.
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Rajesh Kumar Bhaskaran & Sujit Kovilathumpaday Sukumaran. (2021) Empirical examination of an integrative model for asset pricing – evidence from US market. Review of Behavioral Finance 14:5, pages 612-626.
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Shunbo Qiu & Junchen Wang. (2022) The use of three-factor model to make financial portfolio and help clients’ decisions. BCP Business & Management 23, pages 616-624.
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Zhuolei Li, Xundi Diao & Chongfeng Wu. (2022) The influence of mobile trading on return dispersion and herding behavior. Pacific-Basin Finance Journal 73, pages 101767.
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Agus Nugroho, Fajri, Rizki Muhammad Iqbal, Keumala Fadhiela, Dwi Apriyani, Litna Nurjannah Ginting & Safira Nurdin. (2022) Impacts of village fund on post disaster economic recovery in rural Aceh Indonesia. International Journal of Disaster Risk Reduction 70, pages 102768.
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Dongxu Chen, Xieyang Shen & Tao Liu. (2021) Taming the Factor Zoo: New Evidence from China. Discrete Dynamics in Nature and Society 2021, pages 1-16.
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Ramón Bermejo Climent, Isabel Figuerola-Ferretti Garrigues, Ioannis Paraskevopoulos & Alvaro Santos. (2021) ESG Disclosure and Portfolio Performance. Risks 9:10, pages 172.
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Rahul Roy. (2021) A six‐factor asset pricing model: The Japanese evidence. FINANCIAL PLANNING REVIEW 4:1.
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Tzu-Lun Huang. (2019) Is the Fama and French five-factor model robust in the Chinese stock market?. Asia Pacific Management Review 24:3, pages 278-289.
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François-Eric Racicot, William F. Rentz, Alfred Kahl & Olivier Mesly. (2019) Examining the dynamics of illiquidity risks within the phases of the business cycle. Borsa Istanbul Review 19:2, pages 117-131.
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Sunil S. Poshakwale, Pankaj Chandorkar & Vineet Agarwal. (2019) Implied volatility and the cross section of stock returns in the UK. Research in International Business and Finance 48, pages 271-286.
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Rahul Roy & Santhakumar Shijin. (2018) A six-factor asset pricing model. Borsa Istanbul Review 18:3, pages 205-217.
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Rahul Roy & Santhakumar Shijin. (2018) Dissecting anomalies and dynamic human capital: The global evidence. Borsa Istanbul Review 18:1, pages 1-32.
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Chao Li, Zongyi Hu & Tang Liwei. (2017) Re-Examining the Chinese A-Share Herding Behavior With a Fama-French Augmented Seven-Factor Model. SSRN Electronic Journal.
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