Breaking down anomalies: comparative analysis of the q-factor and fama-french five-factor model performance
Abstract
The continuous development of the asset pricing supplies investors and
researchers with the new empirical models and it might get challenging
to pick one to use. This thesis provides an empirical comparison of the
Fama-French 5-factor model and q-factor model. The analysis is
performed on the value-weighted portfolios formed on the five
anomalies. We perform intercept study and employ Fama-MacBeth
methodology. Our findings suggest that q-factor model is superior in
performance compared to the Fama-French revised model; however,
none of the models is complete. Analyzed anomalies are likely to be
proxies for some priced risk factors and might be used to improve the
models.
Description
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2017