1. Mispricing and the five-factor model
- Author
-
Christian Walkshäusl
- Subjects
040101 forestry ,Economics and Econometrics ,050208 finance ,Financial economics ,05 social sciences ,04 agricultural and veterinary sciences ,Investment (macroeconomics) ,0502 economics and business ,Value (economics) ,Economics ,0401 agriculture, forestry, and fisheries ,Capital asset pricing model ,Profitability index ,Big Five personality traits ,Finance - Abstract
The information about expected returns contained in the size, value, profitability, and investment factors of Fama and French’s five-factor model is rendered insignificant in the presence of a systematic misvaluation factor. A parsimonious two-factor model consisting of the market factor and a systematic misvaluation factor provides in general a similar description of average returns as the five-factor model.
- Published
- 2016
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