Fama, Eugene F.; French, Kenneth R. - In: Journal of Financial Economics 116 (2015) 1, pp. 1-22
A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF, 1993). The five-factor model׳s main problem is its failure to capture the low average returns on small...