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Breaking down anomalies: comparative analysis of the q-factor and fama-french five-factor model performance

Voron, Tetiana; Kazakova, Margaryta
Master thesis
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1760215.pdf (1.908Mb)
Preliminary Report.pdf (432.7Kb)
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http://hdl.handle.net/11250/2477003
Utgivelsesdato
2017
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Samlinger
  • Master of Science [1116]
Sammendrag
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.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2017
Utgiver
BI Norwegian Business School

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