Relevant bibliographies by topics / Fama-French factor

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers

Academic literature on the topic 'Fama-French factor'

Author: Grafiati
Published: 3 June 2025
Last updated: 31 July 2025

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Journal articles on the topic "Fama-French factor"

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Dasril, Yuki Dwi Darma, Petiana Indriati, Pujiharta Pujiharta, Nani Hartati, and Meika Indriani. "Mampukah Model Enam Faktor Fama and French menggungguli Model Tiga Faktor Fama and French dengan Proksi Indeks Kompas 100." Jurnal Riset Akuntansi & Perpajakan (JRAP) 11, no. 1 (2024): 89–104. http://dx.doi.org/10.35838/jrap.2024.011.01.07.

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accompanying risks, many researchers have attempted to find financial asset valuation models. One of the most popular ones today is the Fama and French model. The initial model introduced was the Fama and French 3-factor model, which encountered various failures in some emerging market capital markets. In response, Fama and French improved their model, transforming it into a 6-factor model by adding aspects of profitability, investment, and momentum. This adjustment aimed to capture the relationship between the returns of securities or portfolios formed with systematic risk. However, the Fama
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Mustaruddin, Saleh. "Empirical Testing of the Five-Factor Model of Fama and French in Indonesia as an Emerging Capital Market." Journal of Economics and Business 3, no. 1 (2020): 19–28. https://doi.org/10.31014/aior.1992.03.01.175.

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This study was conducted to empirically examine the five-factor model of Fama and French in respect to stock returns of companies listed in the finance sector with 170 observations over the period 2012-2016. As a comparative analysis, this study is also conducted to examine CAPM and the three-factor model of Fama and French. The findings of the study revealed that the market return has a positive and partially significant impact on the stock return for CAPM. Specifically, both variables, small minus big (SMB) and high minus low (HML) have a positive and significant impact on stock returns in t
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Richey, Greg. "Fewer reasons to sin: a five-factor investigation of vice stock returns." Managerial Finance 43, no. 9 (2017): 1016–33. http://dx.doi.org/10.1108/mf-09-2016-0268.

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Purpose The purpose of this paper is to investigate the return performance of a portfolio of US “vice stocks,” firms that manufacture and sell products such as alcohol, tobacco, gaming services, national defense and firearms, adult entertainment, and payday lenders. Design/methodology/approach Using daily return data from a portfolio of vice stocks over the period 1987-2016, the author computes the Jensen’s α (capital asset pricing model (CAPM)), Fama-French Three-Factor, Carhart Four-Factor, and Fama-French Five-Factor results for the complete portfolio, and each vice industry individually. F
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Ding, Xingyue, and Kaihong Xie. "Comparison of China Three-factor model and Fama-French Three-factor: an Empirical Analysis." Advances in Economics, Management and Political Sciences 14, no. 1 (2023): 162–68. http://dx.doi.org/10.54254/2754-1169/14/20230810.

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Fama-French factors model (FF-3) is a famous model derivate from CAPM to explain the stock return. However, in China, in consideration of A-shares, a more suitable model for Chinese market is in need, thus a China three-factor model (CH-3) was constructed. There was no doubt that China three-factor model dominated Fama-French three-factor model from 2000 to 2017. Nevertheless, in recent year, due to the COVID-19 and the change of world situation, China Stock Market had also changed. In this paper, we tried to use our knowledge and extended the data to 2021 to test the effectiveness of each mod
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Hu, Junjie, Qiunan Jiang, Jie Song, and Su Yan. "Comparative Analysis on Fama-French Five-factor Model and Three-factor Model adopted in various Industries in A-share Market of China." BCP Business & Management 35 (December 31, 2022): 641–46. http://dx.doi.org/10.54691/bcpbm.v35i.3364.

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Asset pricing has always been a hot issue in the financial industry. The cutting-edge research achievements of Capital Asset Pricing Models are the Fama-French three-factor model and the Fama-French five-factor model. Although many scholars have studied the performance of Fama-French three-factor model and five-factor model in China's A-share market, there is still controversy about the explanatory power of these two model in the A-share market. This thesis discusses the applicability of Fama-French three-factor and five-factor models adopted in various industries. This thesis chooses A shares
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Urbański, Stanisław. "Wpływ opóźnionych zmiennych warunkowych na zmiany stóp zwrotu akcji notowanych na GPW w Warszawie." Przegląd Statystyczny. Statistical Review 2009, no. 1 (2009): 107–25. http://dx.doi.org/10.59139/ps.2009.01.7.

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The paper presents the testing of Fama and French three-factor model and the two- and three-factor aggregated model proposed earlier by the author. The conducted test concerns the impact of condition variables on changes to the rates of return on the shares quoted on the Warsaw Stock Exchange main market for 1995-2005. The analysis is based on the procedure proposed by Ferson and Harvey (1999). Fama and French lagged factors act as condition variables, the lagged rate of return on free-from-risk shares and lagged factor HMLF of the proposed aggregated model. The results of the analysis lead to
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Afzali, Mohammad Ali, and Mostafa Vaezi Monfared. "Compare the Three and Four and Five Factor Models of Pricing of Fama and French Capital Assets to Predict Stock Returns of Companies Listed in Tehran Stock Exchange." Journal of Management and Accounting Studies 4, no. 04 (2019): 65–69. http://dx.doi.org/10.24200/jmas.vol4iss04pp65-69.

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One of the basic criteria for decisions on the exchange is stock returns. Stock returns, alone, are having informational content and more actual and potential investors use it in financial analysis and forecasts. Many studies have been done on the relationship between risk and return. Fama and French purpose of the experiment was to know the relative importance of future stock returns, which at present, is different than the market value to their book value. Methodology: Fama and French, to predict stock returns were to work as a model became known three-factor model. In this model, the stock
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Irejeh, Enaikpobomene Mina, and Lisa Edafiaje Aninoritse. "Fama and French Three Factor Model." European Journal of Accounting, Auditing and Finance Research 12, no. 5 (2024): 17–30. http://dx.doi.org/10.37745/ejaafr.2013/vol12n51730.

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This study seeks to investigate the application of FF3FM in the Nigerian stock market. The study examined the behaviour of stock returns in relation to market beta, firm size (market equity), and book-to-market equity (BE/ME) factors. Sixty- eight (68) sample size was selected from all stocks quoted on the Nigerian Stock Exchange (NSE) from 2013 to 2022. Time series regression analysis was adopted. Monthly excess portfolio returns were regressed on firm size, excess market returns and book-to-market-equity ratio. The findings showed a strong correlation between book-to-market equity variables,
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Tondok, Kristio Rapi. "An Analysis on Risk Adjusted Performance and Asset Pricing Model Comparison in Indonesian Stock Market during Covid-19." International Journal of Business Studies 6, no. 2 (2022): 218–28. http://dx.doi.org/10.32924/ijbs.v6i2.227.

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This study calculates the performance of the Fama and French Three Factor, the Carhart Four Factor, and the Fama and French Five Factor models and compares each performance using the Mean Absolute Deviant (MAD) and Ex-ante Sharpe ratio. The data is collected from Saham KOMPAS 100 for the period of 2017 to 2021, as well as calculations using Data Analytics tools in Microsoft Excel.
 
 The results are Factor model having the highest accuracy based on the value of Mean Absolute Deviant while the Three Factor model having the highest risk-adjusted return performance based on the Ex-ante
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Xu, Yuhan. "Comparison Between Different Pricing Models: Evidence from the Technology Industry." Advances in Economics, Management and Political Sciences 59, no. 1 (2024): 222–30. http://dx.doi.org/10.54254/2754-1169/59/20231126.

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The primary goal of this study is to investigate the applicability and analytical effectiveness of three models, namely the Capital Asset Pricing Model (CAPM), the Fama-French Three-Factor Model, and the Fama-French Five-Factor Model, within the technology industry. The study focuses on a sample of six representative technology companies, employing monthly data spanning a period of five years from 2018 to 2023. Empirical tests and regression analyses are conducted to empirically assess the performance of these three models. The results demonstrate that the Fama-French Three-Factor Model exhibi
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Dissertations / Theses on the topic "Fama-French factor"

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Hanhardt, Andreas. "The Adventures of Fama & French in Europe." Doctoral thesis, Universitat Ramon Llull, 2010. http://hdl.handle.net/10803/9181.

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L'objectiu d'aquesta tesi és triple. En primer lloc, contribuïm a aprofundir l'anàlisi de la capacitat del model dels tres factors de Fama i French (1993) per valorar els actius financers a Europa. En segon lloc, estudiem la relació entre els factors de Fama i French (FF) i el risc sistemàtic, i, per tant, en quina mesura _es coherent amb la interpretació del model intertemporal de valoració d'actius, que va més enllà de l'efecte mida i de l'efecte valor comptable-valor de mercat. I, en tercer lloc, tenim com a objectiu mesurar la integració dels mercats d'accions europeus, emmarcada en el pro
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Mao, Bin. "An empirical study of the Fama and French three-factor model." Thesis, University of Aberdeen, 2009. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=208283.

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In recent years there has been increasing empirical evidence that appears to support the view that the Fama and French three-factor model is highly effective in capturing the systematic risks associated with equity rates of return. It has equally been recognised that the three-factor model does not have the theoretical sophistication of the Capital Asset Pricing Model (CAPM). This comparison presents a puzzle that hinges on a search for explanations of the sources of the two extra risk factors that are central to the three-factor model. These factors are: first, the size premium (defined as th
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Lam, Kenneth. "Is the Fama-French three-factor model better than the CAPM? /." Burnaby B.C. : Simon Fraser University, 2005. http://ir.lib.sfu.ca/handle/1892/2094.

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Lagnado, Leonardo Mathiazzi. "Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/17047.

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Submitted by Leonardo Mathiazzi Lagnado (lagnado@gvmail.br) on 2016-09-09T00:28:36Z No. of bitstreams: 1 MPFE - Lagnado - Versão Final.pdf: 7778858 bytes, checksum: 16803ed7c2489aa7863aa44717c8719a (MD5)<br>Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Leonardo, boa tarde Para que possamos aceitar seu trabalho, deverá realizar algumas alterações conforme as normas da ABNT. Segue abaixo: - Na capa: o nome da Escola deve estar em Português. - Na contra capa e na folha de assinaturas, todas as informações também deverão estar em português; exceto o título. - I
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Jiao, Wenting. "Exploring Risk Factors on Chinese A Share Stock Market - in the Frame of Fama - French Factor Model." Thesis, Rennes 1, 2017. http://www.theses.fr/2017REN1G013/document.

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Notre thèse explore les facteurs de risque et les modèles des facteurs sur le marché boursier chinois A-share. Notre étude est basée sur le contexte du modèle facteur de Fama-French (FF). Tout d'abord, au chapitre 1, nous réexaminons l'applicabilité du Modèle Fama-French à Trois Facteurs (FF3F) et du dernier Modèle Fama-French à Cinq Facteurs (FF5F), compte tenu de plusieurs caractéristiques spéciales du marché boursier chinois. Les résultats empiriques montrent que le Modèle FF3F peut expliquer la majorité des variations de séries chronologiques des rentabilités des actions chinoises A-share.
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Michaelides, Michael. "Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets." Diss., Virginia Tech, 2017. http://hdl.handle.net/10919/77515.

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The primary objective of this dissertation is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these models, several departures are found and the original linear regression models are respecified. The respecification results in a family of heterogeneous Student's t models which are shown to account for all the statistical regularities in the data. This family of models provides an appropriate basis for re
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Boros, Daniel, and Claes Eriksson. "Does size matter? : An empirical study modifying Fama & French's three factor model to detect size-effect based on turnover in the Swedish markets." Thesis, Linköpings universitet, Nationalekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-117836.

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This thesis investigates whether the estimation of the cost of equity (or the expected return) in the Swedish market should incorporate an adjustment for a company’s size. This is what is commonly known as the size-effect, first presented by Banz (1980) and has later been a part of models for estimating cost of equity, such as Fama &amp; French’s three factor model (1992). The Fama &amp; French model was developed based on empirical research. Since the model was developed, the research on the size-effect has been divided and today there are empirical studies contradicting its existence. Argume
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Hajric, Amina, and Kajsa Larsson. "Utvärdering av CAPM och Fama & French-trefaktormodellen : en studie på den svenska marknaden." Thesis, Högskolan Kristianstad, Sektionen för hälsa och samhälle, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hkr:diva-17214.

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Det är sedan länge känt att det finns en positiv korrelation mellan risk och avkastning. Investerare och bolag kan välja mellan flera olika prissättningsmodeller för att förutspå priset på en aktie. Forskare har, med den kända enfaktormodellen CAPM som utgångspunkt, utvecklat en modell som tar hänsyn till mer än bara marknadsfaktorn. Detta resulterade i framtagandet av Fama &amp; French-trefaktormodellen (FF3) som även inkluderar storleksfaktorn SMB samt värdefaktorn HML. Syftet med studien är att utvärdera två prissättningsmodeller, CAPM och FF3, för att kunna bedöma deras prestanda vid värde
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Xu, Chenghao. "Portfolio Optimization, CAPM & Factor Modeling Project Report." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/243.

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In this Portfolio Optimization Project, we used Markowitz¡¯s modern portfolio theory for portfolio optimization. We selected fifteen stocks traded on the New York Stock Exchange and gathered these stocks¡¯ historical data from Yahoo Finance [1]. Then we used Markowitz¡¯s theory to analyze this data in order to obtain the optimal weights of our initial portfolio. To maintain our investment in a current tangency portfolio, we recalculated the optimal weights and rebalanced the positions every week. In the CAPM project, we used the security characteristic line to calculate the stocks¡¯ daily retu
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Dong, Yijun. "Portfolio Optimization, CAPM & Factor Modeling Project Report." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/244.

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In this Portfolio Optimization Project, we used Markowitz¡¯s modern portfolio theory for portfolio optimization. We selected fifteen stocks traded on the New York Stock Exchange and gathered these stocks¡¯ historical data from Yahoo Finance [1]. Then we used Markowitz¡¯s theory to analyze this data in order to obtain the optimal weights of our initial portfolio. To maintain our investment in a current tangency portfolio, we recalculated the optimal weights and rebalanced the positions every week. In the CAPM project, we used the security characteristic line to calculate the stocks¡¯ daily retu
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Books on the topic "Fama-French factor"

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Sharma, Mehak, Chandra P. Gupta, and Anshul Jain. Application of the Fama-French Three-Factor Model in the Indian Stock Market. SAGE Publications Ltd, 2024. http://dx.doi.org/10.4135/9781529683639.

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Lohrmann, Christoph. Comparison of the Capm, the Fama-French Three Factor Model and Modifications. GRIN Verlag GmbH, 2015.

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Back, Kerry E. Factor Models. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0006.

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The CAPM and factor models in general are explained. Factors can be replaced by the returns or excess returns that are maximally correlated (the projections of the factors). A factor model is equivalent to an affine representation of an SDF and to spanning a return on the mean‐variance frontier. The use of alphas for performance evaluation is explained. Statistical factor models are defined as models in which factors explain the covariance matrix of returns. A proof is given of the Arbitrage Pricing Theory, which states that statistical factors are approximate pricing factors. The CAPM and the
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Book chapters on the topic "Fama-French factor"

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Zhang, Mengcheng. "Fama-French five factor model-based portfolio strategy." In Exploring the Financial Landscape in the Digital Age. CRC Press, 2024. http://dx.doi.org/10.1201/9781003508816-53.

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Luo, Peibin. "A Machine-Learning Approach in Assessing the Fama French Three and Fama French Five Factor Model." In Smart Innovation, Systems and Technologies. Springer Nature Singapore, 2024. http://dx.doi.org/10.1007/978-981-97-3210-4_5.

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Cheong, Kasoi. "Comparison Between the Fama-French Three-Factor Model and the Fama-French Five-Factor Model: An Empirical Study on China’s Stock Market." In Proceedings of the 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023). Atlantis Press International BV, 2023. http://dx.doi.org/10.2991/978-94-6463-142-5_28.

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Müller, Birgit Charlotte. "Capital Share Risk in International Asset Pricing." In Three Essays on Empirical Asset Pricing in International Equity Markets. Springer Fachmedien Wiesbaden, 2021. http://dx.doi.org/10.1007/978-3-658-35479-4_3.

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ZusammenfassungIn a seminal study, Lettau et al. (2019) demonstrate that a single macroeconomic factor can explain a wide range of equity and nonequity portfolio returns within the U.S. market. This factor, which is based on the growth in the capital share of aggregate income, is able to outperform, yet even subsume information in well-established factor models as for instance the Fama-French three factor model. The aim of this paper is to study whether the explanatory power of this factor maintains across international equity markets.
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Zhang, Yicong. "Return forecasting and portfolio allocation by Fama-French three factor model." In Exploring the Financial Landscape in the Digital Age. CRC Press, 2024. http://dx.doi.org/10.1201/9781003508816-55.

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Liu, Junhan, Nuocheng Wang, and Haowen Yao. "Research on Medical Equipment Industry Based on Fama-French Five Factor Model." In Advances in Economics, Business and Management Research. Atlantis Press International BV, 2024. http://dx.doi.org/10.2991/978-94-6463-488-4_6.

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Cai, Ningrong, Danqing Song, Yiqing Zhang, and Zhuoqun Zhang. "Fama French Three Factor Model in Chinese Stock Market during Covid-19." In Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022). Atlantis Press International BV, 2022. http://dx.doi.org/10.2991/978-94-6463-052-7_68.

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Zhou, Yujun. "Evaluation of Stock Returns of Alpha-Factor Selection Strategy Based on Fama-French Three-Factor Model." In Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023). Atlantis Press International BV, 2023. http://dx.doi.org/10.2991/978-94-6463-246-0_40.

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Zhu, Zeyu. "Analysis of Fama-French Five-Factor Model Applicability in Chinese A-Share Market." In Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023). Atlantis Press International BV, 2023. http://dx.doi.org/10.2991/978-94-6463-246-0_6.

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Sun, Yuyong. "Exploring A New Factor Based on The Fama-French Model During COVID-19." In Proceedings of the 2023 International Conference on Economic Management, Financial Innovation and Public Service (EMFIPS 2023). Atlantis Press International BV, 2024. http://dx.doi.org/10.2991/978-94-6463-441-9_68.

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Conference papers on the topic "Fama-French factor"

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Yan, Runqin, and Jingwen Bao. "Analysis of Application of Fama-French 3-factor Model and Fama-French 5-factor Model in Manufacture Industry and Health Industry." In 2020 Management Science Informatization and Economic Innovation Development Conference (MSIEID). IEEE, 2020. http://dx.doi.org/10.1109/msieid52046.2020.00036.

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Gao, Ruihan. "The Empirical Research on Time-series Efficiency in Technology Industry, based on CAPM, Fama-French Three-Factor model, and Fama-French Five-Factor Model." In Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, China. EAI, 2024. http://dx.doi.org/10.4108/eai.17-11-2023.2342678.

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Huo, Lin, and Xiaoli Sun. "An augmented fama and french three-factor model using social interaction." In 2017 IEEE International Conference on Big Data (Big Data). IEEE, 2017. http://dx.doi.org/10.1109/bigdata.2017.8258435.

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Inggrit Wijaya, Liliana, Randy Kennardi Irawan, and Putu Anom Mahadwartha. "Test of Fama a French five factor-model on Indonesian stock market." In 15th International Symposium on Management (INSYMA 2018). Atlantis Press, 2018. http://dx.doi.org/10.2991/insyma-18.2018.12.

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Chu, Yifan. "Research on Application of Fama-French Three-Factor Model in Asset Allocation." In 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022). Atlantis Press, 2022. http://dx.doi.org/10.2991/aebmr.k.220307.319.

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Li, Jiayi. "Analysis of Chinese Market Based on Fama and French Five-Factor Model." In Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China. EAI, 2023. http://dx.doi.org/10.4108/eai.18-11-2022.2327139.

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Fauzie, Syarief, and Ranika Elizabeth Siagian. "Fama-French Five-Factor Model Analysis on Valuation of Bank Stock Returns." In 2nd INTERNATIONAL RESEARCH CONFERENCE ON ECONOMICS AND BUSINESS 2018. SCITEPRESS - Science and Technology Publications, 2018. http://dx.doi.org/10.5220/0008786802760284.

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Chen, Guowei, Yang Jing, and Tingjia Zhang. "Quantitative Portfolio Selection Based on Fama-French 3-Factor Model: An Empirical Research." In Proceedings of the International Conference on Financial Innovation, FinTech and Information Technology, FFIT 2022, October 28-30, 2022, Shenzhen, China. EAI, 2023. http://dx.doi.org/10.4108/eai.28-10-2022.2328427.

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Chen, Huijuan, Xinyi Mi, and Yingwei Xu. "Empirical Research on Pharmaceutical Industry Returns Based on Fama-French Three-Factor Model." In Proceedings of the International Conference on Financial Innovation, FinTech and Information Technology, FFIT 2022, October 28-30, 2022, Shenzhen, China. EAI, 2023. http://dx.doi.org/10.4108/eai.28-10-2022.2328423.

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Zhang, Hengjia, Yanjia Yang, Jiayi Zhu, Liuling Li, and Bruce MizrachSi. "Analysis of US Agriculture Market with a New Fama-French Three-Factor Model." In 2016 3rd International Conference on Management, Education Technology and Sports Science (METSS 2016). Atlantis Press, 2016. http://dx.doi.org/10.2991/metss-16.2016.52.

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