Article citationsMore>>

Li, L., Zhu, Q.Y. and Mu, Y. (2017) Analysis of the Sector of Software & Computer Services with a New Carhart 4-Factor Model. Journal of Mathematical Finance, 7, 65-82.

has been cited by the following article:

• TITLE: Analysis of 48 US Industry Portfolios with a New Fama-French 5-Factor Model

  AUTHORS: Liuling Li, Xiao Rao, Wentao Zhou, Bruce Mizrach

  KEYWORDS: Fama-French 5-Factor Model (FF5), Standardized Standard Asymmetric Exponential Power Distribution (SSAEPD), GARCH

  JOURNAL NAME: Applied Mathematics, Vol.8 No.11, November 30, 2017

  ABSTRACT: In this paper, we analyze US stock market with a new 5-factor model in Zhou and Li (2016) [1]. Data we use are 48 industry portfolios (Jul. 1963-Jan. 2017). Parameters are estimated by MLE. LR and KS are used for model diagnostics. Model comparison is done with AIC. The results show Fama-French 5 factors are still alive. This new model in Zhou and Li (2016) [1] fits the data better than the one in Fama and French (2015) [2].