Fama-French five-factor model
GPTKB entity
Statements (55)
| Predicate | Object |
|---|---|
| gptkbp:instance_of |
gptkb:economic_analysis
|
| gptkbp:aims_to |
stock returns
|
| gptkbp:developed_by |
gptkb:Eugene_Fama
gptkb:Kenneth_R._French |
| gptkbp:has_expansion |
gptkb:Fama-French_three-factor_model
|
| https://www.w3.org/2000/01/rdf-schema#label |
Fama-French five-factor model
|
| gptkbp:is_adopted_by |
institutional investors
retail investors |
| gptkbp:is_analyzed_in |
mutual funds
hedge funds equity markets risk-adjusted returns financial research papers stock selection |
| gptkbp:is_applied_in |
portfolio management
|
| gptkbp:is_based_on |
empirical research
cross-sectional regressions |
| gptkbp:is_compared_to |
gptkb:CAPM
single-factor models |
| gptkbp:is_considered |
a significant advancement
a benchmark model a practical tool a cornerstone of factor models. |
| gptkbp:is_criticized_for |
complexity
lack of theoretical foundation data mining issues |
| gptkbp:is_discussed_in |
finance textbooks
investment seminars |
| gptkbp:is_evaluated_by |
academic literature
financial regulators investment performance studies |
| gptkbp:is_influenced_by |
market anomalies
behavioral finance |
| gptkbp:is_often_used_in |
finance
|
| gptkbp:is_part_of |
modern portfolio theory
|
| gptkbp:is_related_to |
arbitrage pricing theory
factor investing |
| gptkbp:is_tested_for |
empirical studies
predictive power multi-factor models |
| gptkbp:is_utilized_by |
financial advisors
investment analysts quantitative researchers |
| gptkbp:is_utilized_in |
risk management
|
| gptkbp:provides_information_on |
risk factors
|
| gptkbp:published_in |
gptkb:2015
|
| gptkbp:used_in |
asset pricing
|
| gptkbp:was_a_factor_in |
market risk
investment effect profitability effect size effect value effect |
| gptkbp:bfsParent |
gptkb:Fama-French_three-factor_model
gptkb:Kenneth_R._French |
| gptkbp:bfsLayer |
6
|