Journal ArticleDOI
Dissecting Anomalies with a Five-Factor Model
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TLDR
In this paper, a five-factor model that adds profitability (RMW) and investment (CMA) factors to the three factor model of Fama and French (1993) suggests a shared story for several average-return anomalies.Abstract:
A five-factor model that adds profitability (RMW) and investment (CMA) factors to the three-factor model of Fama and French (1993) suggests a shared story for several average-return anomalies. Specifically, positive exposures to RMW and CMA (returns that behave like those of the stocks of profitable firms that invest conservatively) capture the high average returns associated with low market β, share repurchases, and low stock return volatility. Conversely, negative RMW and CMA slopes (like those of relatively unprofitable firms that invest aggressively) help explain the low average stock returns associated with high β, large share issues, and highly volatile returns.read more
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Journal ArticleDOI
International Tests of a Five-Factor Asset Pricing Model
TL;DR: A five-factor model that adds profitability and investment factors to the three factor model of Fama and French (1993) largely absorbs the patterns in average returns is proposed in this article, which fails to capture fully the low average returns of small stocks whose returns behave like those of low profitability firms that invest aggressively.
Journal ArticleDOI
The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns
TL;DR: The authors take up the challenge to identify the firm characteristics that provide independent information about average U.S. monthly stock returns by simultaneously including 94 characteristics in Fama-MacBeth regressions that avoid overweighting microcaps and adjust for data snooping bias.
ReportDOI
Risks and Returns of Cryptocurrency
Yukun Liu,Aleh Tsyvinski +1 more
TL;DR: It is established that the risk-return tradeoff of cryptocurrencies (Bitcoin, Ripple, and Ethereum) is distinct from those of stocks, currencies, and precious metals and that proxies for investor attention strongly forecast cryptocurrency returns.
Journal ArticleDOI
Shrinking the cross-section
TL;DR: In this paper, a robust stochastic discount factor (SDF) summarizing the joint explanatory power of a large number of cross-sectional stock return predictors is proposed.
Journal ArticleDOI
Studies in the Theory of Capital Markets.
References
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Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Journal ArticleDOI
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
Journal ArticleDOI
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
TL;DR: In this article, the authors show that strategies that buy stocks that have performed well in the past and sell stocks that had performed poorly in past years generate significant positive returns over 3- to 12-month holding periods.
Book ChapterDOI
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.