Analysis of US Sector of Services with a New Fama-French 5-Factor Model

• 作者: Bruce Mizrach Liuling Li Qingyu Zhu Quan Yang
• 来源期刊: 应用数学(英文)
• 学科: 医学
• 关键词: FAMA-FRENCH 5-Factor Model (FF5) Standardized Standard ASYMMETRIC EXPONENTIAL Power Distribution (SSAEPD) EGARCH
• 年，卷（期）: 2017,（9）
• 页码范围: 1307-1319
• 页数: 13页
• 分类号: R73

摘要

In this paper, we empirically test a new model with the data of US services sector, which is an extension of the 5-factor model in Fama and French (2015) [1]. 3 types of 5 factors (Global, North American and US) are compared. Empirical results show the Fama-French 5 factors are still alive! The new model has better in-sample fit than the 5-factor model in Fama and French (2015).