Mispricing and the five-factor model

Christian Walkshäusl

Economics Letters, 2016, vol. 147, issue C, 99-102

Abstract: The information about expected returns contained in the size, value, profitability, and investment factors of Fama and French’s five-factor model is rendered insignificant in the presence of a systematic misvaluation factor. A parsimonious two-factor model consisting of the market factor and a systematic misvaluation factor provides in general a similar description of average returns as the five-factor model.

Keywords: Asset pricing; Factor model; Mispricing; Profitability; Investment (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:147:y:2016:i:c:p:99-102

DOI: 10.1016/j.econlet.2016.08.025

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