Jiao, Wenting; Lilti, Jean-Jacques - In: China finance and economic review : CFER 5 (2017) 7, pp. 1-19
Background: Fama and French propose a five-factor model that contains the market factor and factors related to size, book-to-market equity ratio, profitability, and investment, which outperforms the Fama-French Three-Factor Model in their paper in 2014. This study investigates the performance of...