Size, value, profitability, and investment: Evidence from emerging markets

André Luis Leite, Marcelo Klotzle, Antonio Carlos Figueiredo Pinto and Aldo Ferreira da Silva

Emerging Markets Review, 2018, vol. 36, issue C, 45-59

Abstract: In this study, we investigate how the Fama and French three-, four-, and five-factor models perform in emerging markets. We find that the four- and five-factor models perform better than the three-factor model in most of our tests. We note that the value factor seems to be somewhat redundant in the presence of profitability and investment factors. We find clear evidence of size effects in average stock excess returns, little evidence of value and profitability effects, and some investment effects. Finally, the local factors perform better than the US and global factors do, showing evidence of emerging market segmentation.

Keywords: Five-factor model; Three-factor model; Emerging markets; Fama–French; Asset pricing (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014117303357
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:36:y:2018:i:c:p:45-59

DOI: 10.1016/j.ememar.2018.04.006

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().