The Fama-French five-factor model and emerging market equity returns

Autor:	Odongo Kodongo, Selebogo Mosoeu
Rok vydání:	2022
Předmět:	Economics and Econometrics 050208 finance 05 social sciences Equity (finance) 0502 economics and business Econometrics Economics Profitability index 050207 economics Big Five personality traits Emerging markets Finance Stock (geology) Generalized method of moments
Zdroj:	The Quarterly Review of Economics and Finance. 85:55-76
ISSN:	1062-9769
Popis:	We test the Fama-French five-factor asset-pricing model on average stock returns for selected emerging and developed equity markets. We deploy the generalized method of moments (GMM) regression on 313 weekly data observations for the period, January 2010 through December 2015. We find that the profitability factor is the most useful for explaining the cross-section of emerging markets equity returns. The five-factor model performs dismally on country-specific portfolios and on geographically diversified portfolios using the Gibbons-Ross-Shanken (GRS) tests. Our results are broadly consistent with those of studies that use Australian, Chinese and South African data but contrary to studies examining American and Japanese data.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::02726a31428fa35bd0aa40f143669bfa https://doi.org/10.1016/j.qref.2020.10.023 Zobrazit plný text záznamu Full Text from ScienceDirect