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Analysis of 48 US Industry Portfolios with a New Fama-French 5-Factor Model
The Institute of Statistics and Econometrics, School of Economics, Nankai University, Tianjin, China
School of Business, Nankai University, Tianjin, China
Department of Economics, University of Wisconsin-Madison, Madison, WI, USA
The Economics Department, Rutgers University, New Brunswick, NJ, USA
- 1 The Institute of Statistics and Econometrics, School of Economics, Nankai University, Tianjin, China
- 2 School of Business, Nankai University, Tianjin, China
- 3 Department of Economics, University of Wisconsin-Madison, Madison, WI, USA
- 4 The Economics Department, Rutgers University, New Brunswick, NJ, USA
Applied Mathematics·Volume 08 (2017)·Pages 1684–1702·Published 1 November 2017·DOI10.4236/am.2017.811122
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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].
KeywordsFama-French 5-Factor Model (FF5)Standardized Standard Asymmetric Exponential Power Distribution (SSAEPD)GARCH
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