Jagannathan, Ravi; Korajczyk, Robert A.; Wang, Kai - National Bureau of Economic Research - 2023
earnings when measuring the return on equity of firms while constructing the profitability factor in the Fama and French (2015 …) five factor model. The profitability factor we construct has significant alpha relative to many extant multi-factor asset …-pricing models, including the standard Fama-French five factor model. When the profitability factor in the Fama and French (2015 …