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Is the Fama French Five Factor model still working?

Muscolo, Noemi
Master thesis
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2638744.pdf (3.998Mb)
Preliminary thesis pdf.pdf (1.158Mb)
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https://hdl.handle.net/11250/2688019
Utgivelsesdato
2020
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Samlinger
  • Master of Science [963]
Sammendrag
Many different asset pricing models have been developed over the years, in order

to understand how the risk of an investment should affect the expected return. None

of the models developed seem to be completely exempt from criticism, but many

economists prefer the Fama French Five factor model. The aim of this paper is to

verify if the five factors of the model are still relevant and significant nowadays, in

order to explain the expected return of an investment. At the beginning of the study,

a lot of focus has been addressed to the validity of the value factor. Contrary to the

initial expectations, our results show that this factor is still relevant to explain the

average expected return. On the contrary there are other factors which may need

further analysis and of which validity is questionable.

KEYWORDS: Asset pricing, stock returns, Fama-French 5 factor model, factors,

risk, momentum factor, beta.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Accounting and Business Control - Handelshøyskolen BI, 2020
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Handelshøyskolen BI

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