Testing alternative versions of the Fama–French five-factor model in the UK

@article{Foye2018TestingAV,
  title={Testing alternative versions of the Fama–French five-factor model in the UK},
  author={James Foye},
  journal={Risk Management},
  year={2018},
  volume={20},
  pages={167-183}
}
  • J. Foye
  • Published 2 May 2018
  • Economics, Business
  • Risk Management
This paper evaluates whether the new Fama–French five-factor model is able to offer an improved method for pricing investment risk in UK equity returns. The paper extends previous studies by testing alternative specifications of the profitability factor. The initial tests indicate that a respecified five-factor model—using gross profit rather than operating profit—provides an improved description of UK equity returns. However, the factors tested perform inconsistently when evaluated against… 
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