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- W3124228043 abstract "Abstract Average stock returns for North America, Europe, and Asia Pacific increase with the book-to-market ratio (B/M) and profitability and are negatively related to investment. For Japan, the relation between average returns and B/M is strong, but average returns show little relation to profitability or investment. A five-factor model that adds profitability and investment factors to the three-factor model of Fama and French (1993) largely absorbs the patterns in average returns. As in Fama and French, 2015 , Fama and French, 2016 , the model's prime problem is failure to capture fully the low average returns of small stocks whose returns behave like those of low profitability firms that invest aggressively." @default.
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- W3124228043 date "2017-03-01" @default.
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- W3124228043 title "International tests of a five-factor asset pricing model" @default.
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- W3124228043 doi "https://doi.org/10.1016/j.jfineco.2016.11.004" @default.
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