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- W3207341774 abstract "The Fama and French (2015) 5-factor model is commonly used to measure the performance of stock return portfolios. Importantly, we find that three of the Fama and French (2015) firm-level characteristics (i.e., size, BV/MV, and profitability) have no significant explanatory power in the cross-section of returns for companies above the median NYSE capitalization during 1963-2020. Small firms comprising less than 8% of the total market capitalization drive the patterns of the 5-factor model. This paper also reexamines equity issuer performance in the context of the 5-factor firm level characteristics and finds that small and large issuers have similar underperformance." @default.
- W3207341774 created "2021-10-25" @default.
- W3207341774 creator A5068879099 @default.
- W3207341774 date "2021-01-01" @default.
- W3207341774 modified "2023-09-24" @default.
- W3207341774 title "Reconsidering Equity Issue Performance: A Focused Criticism of the Fama-French Factor Models" @default.
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- W3207341774 doi "https://doi.org/10.2139/ssrn.3907523" @default.
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