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- W2891966687 abstract "Abstract This paper evaluates whether the new Fama-French five-factor model is able to offer a better description of emerging market equity returns than the three-factor model. Using an extensive sample of 18 countries from three different regions, the paper is the first to test the performance of the five-factor model across a broad range of emerging markets. The five-factor model consistently outperforms the three-factor model in Eastern Europe and Latin America. However, a profitability or investment premium cannot be distinguished in the Asian factors and the five-factor model fails to provide an improved description of equity returns in the region." @default.
- W2891966687 created "2018-09-27" @default.
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- W2891966687 date "2018-12-01" @default.
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- W2891966687 title "A comprehensive test of the Fama-French five-factor model in emerging markets" @default.
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- W2891966687 doi "https://doi.org/10.1016/j.ememar.2018.09.002" @default.
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