A Better Model? An Empirical Investigation of the Fama-French Five-factor Model in Australia

Zhong, A, Chiah, M, Chai, D and Li, S 2016, 'A Better Model? An Empirical Investigation of the Fama-French Five-factor Model in Australia', International Review of Finance, vol. 16, no. 4, pp. 595-638.


Document type: Journal Article
Collection: Journal Articles

Title A Better Model? An Empirical Investigation of the Fama-French Five-factor Model in Australia
Author(s) Zhong, A
Chiah, M
Chai, D
Li, S
Year 2016
Journal name International Review of Finance
Volume number 16
Issue number 4
Start page 595
End page 638
Total pages 44
Publisher Wiley-Blackwell Publishing Asia
Abstract Recently, Fama and French () propose a five-factor model by adding profitability and investment factors to their three-factor model. This model outperforms the three-factor model previously proposed by Fama and French (). Using an extensive sample over the 1982-2013 period, we investigate the performance of the five-factor model in pricing Australian equities. We find that the five-factor model is able to explain more asset pricing anomalies than a range of competing asset pricing models, which supports the superiority of the five-factor model. We also find that despite the results documented by Fama and French (), the book-to-market factor retains its explanatory power in the presence of the investment and profitability factors. Our results are robust to alternative factor definitions and the formation of test assets. The study provides a strong out-of-sample test of the model, adding to the comparative evidence across international equity markets.
Subject Finance
Investment and Risk Management
DOI - identifier 10.1111/irfi.12099
Copyright notice © 2016 International Review of Finance Ltd.
ISSN 1369-412X
Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 13 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 0 times in Scopus Article
Altmetric details:
Access Statistics: 59 Abstract Views  -  Detailed Statistics
Created: Wed, 19 Sep 2018, 13:27:00 EST by Catalyst Administrator
© 2014 RMIT Research Repository • Powered by Fez SoftwareContact us