Analysis of 48 US Industry Portfolios with a New Fama-French 5-Factor Model - Applied Mathematics

AM > Vol.8 No.11, November 2017

Analysis of 48 US Industry Portfolios with a New Fama-French 5-Factor Model ()

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Download as PDF (Size: 1150KB) PP. 1684-1702

DOI: 10.4236/am.2017.811122 1,089 Downloads 5,335 Views Citations

Author(s)

Liuling Li¹, Xiao Rao², Wentao Zhou³, Bruce Mizrach⁴

Affiliation(s)

¹The Institute of Statistics and Econometrics, School of Economics, Nankai University, Tianjin, China.
²School of Business, Nankai University, Tianjin, China.
³Department of Economics, University of Wisconsin-Madison, Madison, WI, USA.
⁴The Economics Department, Rutgers University, New Brunswick, NJ, USA.

ABSTRACT

In this paper, we analyze US stock market with a new 5-factor model in Zhou and Li (2016) [1]. Data we use are 48 industry portfolios (Jul. 1963-Jan. 2017). Parameters are estimated by MLE. LR and KS are used for model diagnostics. Model comparison is done with AIC. The results show Fama-French 5 factors are still alive. This new model in Zhou and Li (2016) [1] fits the data better than the one in Fama and French (2015) [2].

KEYWORDS

Fama-French 5-Factor Model (FF5), Standardized Standard Asymmetric Exponential Power Distribution (SSAEPD), GARCH

Share and Cite:

Li, L. , Rao, X. , Zhou, W. and Mizrach, B. (2017) Analysis of 48 US Industry Portfolios with a New Fama-French 5-Factor Model. Applied Mathematics, 8, 1684-1702. doi: 10.4236/am.2017.811122.

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