How well has Fama and French’s five-factor model explained returns over the decades? According to our analysis, only one factor has truly held up over all time periods. To gauge a factor’s performance ...

This paper develops a new estimation procedure for characteristic-based factor models of stock returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor ...

LONDON, July 20, 2021 /PRNewswire/ -- In their latest quantitative research published today, Acuity Analytics share their recent findings on the use of a macroeconomic factor model for stock returns ...

This paper evaluates whether the new Fama–French five-factor model is able to offer an improved method for pricing investment risk in UK equity returns. The paper extends previous studies by testing ...