The Fama-French five-factor model: Evidence from the Johannesburg Stock Exchange

Cox, Shaun; Britten, James

doi:10.1080/10293523.2019.1647982

Cited by 31 publications

(31 citation statements)

References 35 publications

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“…Sembiring applied the Fama-French model in the Indonesian securities market under market overreaction conditions and found that the market, size, and value factor are accurate to explain portfolios' returns [25]. Cox and Britten utilized the FFFFM in the Johannesburg securities market and concluded that size and value factors are significant, but the market factor presents a negative relationship [26]. Bangash, Khan, and Jabeen disagreed that size pattern performs well by empirical research on the Pakistan equity market [27].…”

Section: Fama-french Model Researchmentioning

confidence: 99%

Empirical Research on the Fama-French Three-Factor Model and a Sentiment-Related Four-Factor Model in the Chinese Blockchain Industry

Chang

Lan

et al. 2020

Sustainability

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As one of the most significant components of financial technology (FinTech), blockchain technology arouses the interests of numerous investors in China, and the number of companies engaged in this field rises rapidly. The emotion of investors has an effect on stock returns, which is a hot topic in behavioral finance. Blockchain is an essential part of FinTech, and with the fast development of this technology, investors’ sentiment varies as well. The online information that directly reflects investors’ mood could be utilized for mining and quantifying to construct a sentiment index. For a better understanding of how well some factors adequately explain the return of stocks related to blockchain companies in the Chinese stock market, the Fama-French three-factor model (FFTFM) will be introduced in this paper. Furthermore, sentiment could be a new independent variable to enhance the explanatory power of the FFTFM. A comparison between those two models reveals that the sentiment factor could raise the explanatory power. The results also indicate that the Chinses blockchain industry does not own the size effect and book-to-market effect.

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Section: Fama-french Model Researchmentioning

confidence: 99%

Empirical Research on the Fama-French Three-Factor Model and a Sentiment-Related Four-Factor Model in the Chinese Blockchain Industry

Chang

Lan

et al. 2020

Sustainability

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“…The average stock return increases with the book-to-market ratio and profitability but is negatively related to the investment factor. Although there are still redundancy issues, the eminent of the five-factor model has also been proven again in the capital markets of Australia (Chiah et al, 2016), China (Huang, 2019;Lin, 2017), Eastern Europe and Latin America (Foye, 2018), and in South Africa (Cox & Britten, 2019). In addition, Sutrisno & Ekaputra (2016) tested this model on the Indonesian stock market.…”

Section: Introductionmentioning

confidence: 97%

Empirical Evidence of Asset Pricing Based on Single Index Model, Fama, and French Three and Five-Factor Models in Indonesia Stock Exchange

Silvia

Griska

2021

akurasi

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This empirical test aims to estimate the beta parameters of the risk premium and other risk factors and compare the performance of the single-index model, Fama and Frech three and five-factor models. The sample used as the study object is companies in the property and real estate subsector with data collected from datastream Thomson Reuters from January 2014 to December 2018. The results are consistent with the previous studies that asset pricing using the Fama and French five-factor model can better explain stock returns than the other two models. The property and real estate subsector seems to provide a positive and statistically significant abnormal return, indicating that asset pricing with the three models is irrelevant to Indonesia. These results suggest that the stock market in Indonesia is still inefficient.

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“…Since then, many economists have proved the effectiveness of Fama-French five-factor model and analyzed the risk of the epidemic to the stock market through the five factor model. For example, Cox and Britten tested the effectiveness of the Fama-French fivefactor model in interpreting the Johannesburg stock exchange returns [5]. The applicability of the model is tested by two aspects [5].…”

Section: Introductionmentioning

confidence: 99%

“…For example, Cox and Britten tested the effectiveness of the Fama-French fivefactor model in interpreting the Johannesburg stock exchange returns [5]. The applicability of the model is tested by two aspects [5]. The first is a model comparison that the five-factor model is compared with the traditional three-factor model and the CAMP model to test which of the models presented best explains the returns of portfolios based on different sorts [5].…”

Section: Introductionmentioning

confidence: 99%

Research on the Influence of Covid-19 on U.S. Business Service Industry Based on Fama-French Five Factor Model

Dai¹,

Jin²,

Tian³

et al. 2021

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

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The outbreak of COVID-19 has had a huge impact on the economy of various industries. The volatility of the stock market was exacerbated by the instability of economic activities, which led to the U.S. stock market experiencing four meltdowns in March 2020. Future economic trends are linked to the impact of the epidemic. Therefore, it is reasonable to assess the extent of the impact of the epidemic on the industry. This paper aims to analyze the market changes in the business service industry before and during the epidemic, based on the Fama-French five factor model. Data collected from the Kenneth R. French-Data Library were used to make a multiple linear regression analysis of the business service industry in the US. Data from 2019.3 to 2020.2 have been selected as the data before the epidemic and 2020.3 to 2021.2 as the data during the epidemic. The results indicate that before and during the epidemic, βMKT increased, βSMB was always insignificant. βHML changed from significant to insignificant, and βRMW and βCMA changed from insignificant to significant. After analysis, companies with weak profitability or aggressive investments are worth investing in after the epidemic.

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The Fama-French five-factor model: Evidence from the Johannesburg Stock Exchange

Cited by 31 publications

References 35 publications

Empirical Research on the Fama-French Three-Factor Model and a Sentiment-Related Four-Factor Model in the Chinese Blockchain Industry

Empirical Research on the Fama-French Three-Factor Model and a Sentiment-Related Four-Factor Model in the Chinese Blockchain Industry

Empirical Evidence of Asset Pricing Based on Single Index Model, Fama, and French Three and Five-Factor Models in Indonesia Stock Exchange

Research on the Influence of Covid-19 on U.S. Business Service Industry Based on Fama-French Five Factor Model

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