An empirical investigation of the Fama-French five-factor model

Paliienko, Oleksandr; Naumenkova, Svitlana; Mishchenko, Svitlana

doi:10.21511/imfi.17(1).2020.13

Cited by 15 publications

(8 citation statements)

References 22 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…The FF5F model provides more use and improves the validity of the results of portfolio analysis. They also vary from RMW and CMA in part The research confirms the application of these methods in testing the Fama-French five-factor model of blue-chip stocks [4]. However, the application ability of FF5F in different markets should be examined after the model is clearly used Stulz constructed an intertemporal international asset pricing model, which assumed that different consumption opportunity sets existed in different countries.…”

Section: Introductionmentioning

confidence: 66%

Analysis of the Impact of the Epidemic on the Technology-related Industry by Fama-French Five-factors Model

Zhou¹

2021

Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

View full text Add to dashboard Cite

Before and during the epidemic, all major industries were hit and affected to a certain extent. In this paper, the Fama-French five-factor model is used as the basic model. The data from the French database and the method of linear regression are adopted to analyze the impact on the technology industry. Three industries, chip, software, and hardware, are adopted as the research objects. In the analysis of factor changes, it is found that the model is suitable for the analysis of the technology market, and there is no abnormal existence. The sensitivity of the technology industry as a whole to the changes in supply and demand caused by the epidemic is increasing significantly. As for the market, investors preferred to invest in companies with strong profitability. The technology market is subdivided into hardware and software sectors. The epidemic situation has a certain inhibitory effect on the hardware industry, while it gives a certain development space to the software industry. According to the structural bull market of Nasdaq, the software industry is more in favor of investing in high market capitalization companies. For the technology industry as a whole, the shifts in investors and market preferences have not been significant.

show abstract

Section: Introductionmentioning

confidence: 66%

Analysis of the Impact of the Epidemic on the Technology-related Industry by Fama-French Five-factors Model

Zhou¹

2021

Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

View full text Add to dashboard Cite

show abstract

“…On the Istanbul Stock Exchange, Ozkan (2018) supported the reliability of the five-factor model. For the Indonesian Stock Exchange, Paliienko, Naumenkova, and Mishchenko (2020) provided positive conclusions related to the five-factor model. Given the previous studies, there is no study that has addressed the five-risk factor on the ASE at the level of Jordanian banks.…”

Section: Modern Stagesmentioning

confidence: 95%

Analysis the Determinants of Risk Factor Model for the Jordanian Banking Stocks

Gharaibeh¹,

Al-Qudah²

2020

JAFEB

View full text Add to dashboard Cite

The purpose of this study is to analyze the determinants of risk factor model for the Jordanian banking stocks from 2006 to 2018. This study employs the Five-factor Fama and French's (2015) methodology and uses the annual returns of all Jordanian banks including 2 Islamic and 13 commercial banks listed on the Amman Stock Exchange (ASE) over a period of 13 years. The results show that the factors of value and profitability have an important role in evaluating the expected return in Jordanian banking stocks. Moreover, the value HML and profitability RMW factors provide the highest cumulative returns among these five factors, while the investment CMA and size SMB factors are still around zero cumulative returns. For the market factor, it provides the least negative cumulative returns. The results showed that the largest correlation is between value and investment factors which means that banks with a high book to market value become banks with a conservative investment strategy. The result of the sub-periods confirmed the value and profitability results. The findings of this study suggest that the five-factor Fama and French model is the choice of building an investment portfolio, especially the factors of value and profitability.

show abstract

“…It depends on the degree and level of study of the subject. Thus, speaking about signs of the juridical facts as the bases of emergence of social and security legal relations, they can be divided into two large groups: generic and specific (Paliienko et al, 2020).…”

Section: Literature Reviewmentioning

confidence: 99%

Theoretical substantiation of the model of borrowing rights-terminating facts

Kostruba

Hyliaka²

2021

SSRN Journal

View full text Add to dashboard Cite

The relevance of the research is determined by the fact that it is necessary to differentiate the possibility of applying rights-terminating facts not only in general constructs of the civil branch of legislation but also in a number of private practices of sub-industries regulating general socio-economic relations. Such differentiation can contribute to the sustainable development of the civil sector of legislation. The aim of the article was to show new constructions in connection with the judicial system and the system of socio-economic forecasting. The main importance of legal consists in the fact that they can be applied in general in the category of civil law and at the same time their role as regulators of the civil branch of legislation is minimized or does not work at all. In this regard, for the termination of legal relations, mainly general constructs of juridical facts without formalization for industry values are used. Such constructions contribute to equality between members of society, which in turn contributes to its development and well-being. It is found that the main task of the formation of the practice of applying rights-terminating facts is to determine the limits of liability of industry-specific legislation. The practical significance of the research is determined by the fact that for the first time the aspects of sectoral planning of the system of application of rights-terminating facts are revealed. The developed model can be applied both in the process of adjudication and in the process of socio-economic development programmers. The novelty of the research is determined by the fact that in the literature, aspects of the formation of industrial legislative grounds for the application of local juridical facts are shown for the first time.

show abstract

An empirical investigation of the Fama-French five-factor model

Cited by 15 publications

References 22 publications

Analysis of the Impact of the Epidemic on the Technology-related Industry by Fama-French Five-factors Model

Analysis of the Impact of the Epidemic on the Technology-related Industry by Fama-French Five-factors Model

Analysis the Determinants of Risk Factor Model for the Jordanian Banking Stocks

Theoretical substantiation of the model of borrowing rights-terminating facts

Contact Info

Product

Resources

About