2,635
Views
11
CrossRef citations to date
0
Altmetric
Original Articles

Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments

&
Pages 444-448 | Published online: 01 Sep 2015
 

ABSTRACT

Fama and French (FF, 2015) propose a five-factor asset pricing model that captures size, value, profitability and investment patterns. The primary purpose here is to further investigate this new model using an improved GMM-based robust instrumental variables technique. A further purpose is to explore the relationship among the FF factors and the Pástor–Stambaugh (PS, 2003) liquidity factor. We conclude that except for the market factor, all of the factors including liquidity are not significant at even the 5% level using our GMM approach for almost all of the FF 12 sectors.

JEL CLASSIFICATION:

Notes

1 The data for the five FF factors are available from http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.

2 The marginal Q is the net present value of future cash flows generated from an additional unit of assets. Note that Equation 3 is derived equating the marginal benefit to marginal cost.

3 French’s website is http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html. The sectors are Nodur, Durbl, Manuf, Enrgy, Chems, BusEq, Telcm, Utils, Shops, Hlth, Money and Other.

5 Table values are available from the authors on request.

Log in via your institution

Log in to Taylor & Francis Online

PDF download + Online access

  • 48 hours access to article PDF & online version
  • Article PDF can be downloaded
  • Article PDF can be printed
USD 53.00 Add to cart

Issue Purchase

  • 30 days online access to complete issue
  • Article PDFs can be downloaded
  • Article PDFs can be printed
USD 205.00 Add to cart

* Local tax will be added as applicable

Related Research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.