%0 Journal Article %1 fama2014dissecting %A Fama, Eugene F. %A French, Kenneth R. %D 2014 %I SSRN %J SSRN eLibrary %K factormodel famafrench quantfinance %R 10.2139/ssrn.2503174 %T Dissecting Anomalies with a Five-Factor Model %X A five-factor model that adds profitability (RMW) and investment (CMA) factors to the three-factor model of Fama and French (1993) points to a shared story for several average return anomalies. Positive exposures to RMW and CMA (returns that behave like those of the stocks of profitable firms that invest conservatively) capture the high average returns associated with low market β, share repurchases, and low stock return volatility. Conversely, large share issues, high β, and highly volatile returns are associated with negative RMW and CMA exposures (like those of relatively unprofitable firms that invest aggressively) that help explain low average returns.

@article{fama2014dissecting, abstract = {A five-factor model that adds profitability (RMW) and investment (CMA) factors to the three-factor model of Fama and French (1993) points to a shared story for several average return anomalies. Positive exposures to RMW and CMA (returns that behave like those of the stocks of profitable firms that invest conservatively) capture the high average returns associated with low market β, share repurchases, and low stock return volatility. Conversely, large share issues, high β, and highly volatile returns are associated with negative RMW and CMA exposures (like those of relatively unprofitable firms that invest aggressively) that help explain low average returns.}, added-at = {2015-05-14T19:19:44.000+0200}, author = {Fama, Eugene F. and French, Kenneth R.}, biburl = {https://www.bibsonomy.org/bibtex/2871369d4882e0b111c2cad7ff67bfed1/shabbychef}, description = {Dissecting Anomalies with a Five-Factor Model by Eugene F. Fama, Kenneth R. French :: SSRN}, doi = {10.2139/ssrn.2503174}, interhash = {b7bf363d5daf2baf0726aa36bb3c682d}, intrahash = {871369d4882e0b111c2cad7ff67bfed1}, journal = {SSRN eLibrary}, keywords = {factormodel famafrench quantfinance}, language = {English}, location = {http://ssrn.com/paper=2503174}, publisher = {SSRN}, timestamp = {2015-05-14T19:19:44.000+0200}, title = {{Dissecting Anomalies with a Five-Factor Model}}, type = {Working Paper Series}, year = 2014 }