Do Factors Matter?

Tim Loughran

Critical Finance Review, 2025, vol. 14, issue 3, 329-355

Abstract: et al.Over the past generation of market returns, factors only matter for small firms. The Fama and French (2018) 6-factor and the Hou (2021) q5-factor models are commonly used to measure the performance of stock return portfolios. Importantly, I find that most of the Fama and French and q5-factor firm-level characteristics have not worked for large capitalization firms for quite a long time (i.e., 1983–2021). Small firms comprising less than 8% of the total market capitalization drive the patterns of the factor models. This paper also reexamines equity issuer performance within the context of the factor firm-level characteristics.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.1561/104.00000160 (application/xml)

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:now:jnlcfr:104.00000160

Access Statistics for this article

More articles in Critical Finance Review from now publishers
Bibliographic data for series maintained by Lucy Wiseman ().