Walkshaeusl, Christian (2016) Mispricing and the five-factor model. ECONOMICS LETTERS, 147. pp. 99-102. ISSN 0165-1765, 1873-7374
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The information about expected returns contained in the size, value, profitability, and investment factors of Fama and French's five-factor model is rendered insignificant in the presence of a systematic misvaluation factor. A parsimonious two-factor model consisting of the market factor and a systematic misvaluation factor provides in general a similar description of average returns as the five-factor model. (C) 2016 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | EFFICIENCY; RETURNS; TESTS; RISK; Asset pricing; Factor model; Mispricing; Profitability; Investment |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 24 Apr 2019 13:15 |
| Last Modified: | 24 Apr 2019 13:15 |
| URI: | https://pred.uni-regensburg.de/id/eprint/4206 |
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