The five-factor asset pricing model – A theoretical review and assessment

Yassin Denis Bouzzine; Sebastian Müller-Bosse; Hendrik Steen; Mario Trautberg; Marius Wöhlert

The five-factor asset pricing model – A theoretical review and assessment

Yassin Denis Bouzzine
, Sebastian Müller-Bosse
, Hendrik Steen
, Mario Trautberg
, Marius Wöhlert

Leuphana University of Lüneburg

Research output: Journal contributions › Journal articles › Research › peer-review

Abstract

The relation between expected return and risk has long been a topic for discussion and research. In this essay, we discuss the latest Fama and French (2015) five-factor model and its incorporation of the two new factors that are supposed to better explain the variation of the cross-section in expected average stock returns. By outlining recent developments of asset pricing models in general and the underlying valuation theory, we provide insights into the reasons why they augmented their three-factor model.

Original language	English
Journal	Management Studies
Volume	9
Issue number	1
Pages (from-to)	2-7
Number of pages	6
ISSN	2699-1187
Publication status	Published - 31.03.2019

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Management studies

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The five-factor asset pricing model – A theoretical review and assessment

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