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The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market
16 references·3 citing·23 second hop
The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market (2020)The Fama-French Five-Factor Model Plus Mo…Choosing factors (2018)Choosing factorsInternational tests of a five-factor asset pricing model (2016)International tests of a five…Accruals, cash flows, and operating profitability in the cross section of stock returns (2016)Accruals, cash flows, and ope…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…A five-factor asset pricing model (2014)A five-factor asset pricing m…The other side of value: The gross profitability premium (2013)The other side of value: The …Size, value, and momentum in international stock returns (2012)Size, value, and momentum in …Asset Growth and the Cross‐Section of Stock Returns (2008)Asset Growth and the Cross‐Se…Are the Fama and French Factors Global or Country Specific? (2002)Are the Fama and French Facto…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Mean-Variance Spanning (1987)Mean-Variance SpanningThe relationship between return and market value of common stocks (1981)The relationship between retu…Dividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Testing the Augmented Fama–French Six‐Factor Asset Pricing Model with Momentum Factor for Borsa Istanbul (2022)Testing the Augmented Fama–Fr…Sustainable Future: Trends, Strategies and Development (2022)Sustainable Future: Trends, S…International Tests of the ZCAPM Asset Pricing Model (2022)International Tests of the ZC…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Replicating Anomalies (2018)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Multifactor Explanations of Asset Pricing Anomalies (1996)Climate risks and market efficiency (2018)Hedging Climate Change News (2019)Dissecting green returns (2022)Empirical Asset Pricing via Machine Learning (2020)Do Shareholders Benefit from Green Bonds? (2018)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 2012Size, value, and momentum in international stock returns1,822 cited
  • 2008Asset Growth and the Cross‐Section of Stock Returns1,595 cited
  • 2018Choosing factors1,020 cited
  • 2016International tests of a five-factor asset pricing model930 cited
  • 2002Are the Fama and French Factors Global or Country Specific?717 cited
  • 1987Mean-Variance Spanning590 cited
  • 2016Accruals, cash flows, and operating profitability in the cross section of stock returns

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  • 2022International Tests of the ZCAPM Asset Pricing Model22 cited
  • 2022Testing the Augmented Fama–French Six‐Factor Asset Pricing Model with Momentum Factor for Borsa Istanbul22 cited
  • 2022Sustainable Future: Trends, Strategies and Development6 cited