Analyzing the Performance of Fama and French Five-factor Model Using GRS Test
Fama and French five-factor model (2015), is a response to inconsistencies that have been observed in Fama and French three-factor model empirical tests. Five-factor model adds profitability and investment factors to three-factor model. This paper is aimed to analyze the performance of five-factor m...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2017-02-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_62587_0eb9de4da7498b31e7f3c91ba89a01f0.pdf |