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].