Dissecting Anomalies with a Five-Factor Model (Digest Summary): E.F. Fama & K.R. French, Review of Financial Studies, Vol. 29, No. 1 (January 2016), 69-103

Research output: Contribution to specialist publicationBook/Film/Article review


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.
Original languageEnglish
Specialist publicationCFA Digest
PublisherCFA Institute
Publication statusPublished - May 2016

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