TY - GEN
T1 - Dissecting Anomalies with a Five-Factor Model (Digest Summary)
T2 - E.F. Fama & K.R. French, Review of Financial Studies, Vol. 29, No. 1 (January 2016), 69-103
AU - Jackson, Antony
N1 - CFA Digest Summary of 'Dissecting Anomalies with a Five-Factor Model'; Eugene F. Fama and Kenneth R. French, Review of Financial Studies, Vol. 29, No. 1 (January 2016), 69-103
PY - 2016/5
Y1 - 2016/5
N2 - By adding profitability and investment factors to their earlier three-factor model, the authors are able to explain the market β, net share issues, and volatility anomalies. The accruals and momentum anomalies cannot be explained by the five-factor model.
AB - By adding profitability and investment factors to their earlier three-factor model, the authors are able to explain the market β, net share issues, and volatility anomalies. The accruals and momentum anomalies cannot be explained by the five-factor model.
UR - https://academic.oup.com/rfs/article-lookup/doi/10.1093/rfs/hhv043
M3 - Book/Film/Article review
VL - 46
JO - CFA Digest
JF - CFA Digest
PB - CFA Institute
ER -