A comprehensive test of the Fama-French five-factor model in emerging markets

James Foye

Emerging Markets Review, 2018, vol. 37, issue C, 199-222

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.

Keywords: Emerging equity returns; Fama-French three-factor model; Fama-French five-factor model (search for similar items in EconPapers)
JEL-codes: G14 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 (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:37:y:2018:i:c:p:199-222

DOI: 10.1016/j.ememar.2018.09.002

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