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Mispricing and the five-factor model

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  • Walkshäusl, Christian

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.

Suggested Citation

  • Walkshäusl, Christian, 2016. "Mispricing and the five-factor model," Economics Letters, Elsevier, vol. 147(C), pages 99-102.
    • Handle: RePEc:eee:ecolet:v:147:y:2016:i:c:p:99-102
    DOI: 10.1016/j.econlet.2016.08.025
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    References listed on IDEAS

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    More about this item

    Keywords

    Asset pricing; Factor model; Mispricing; Profitability; Investment;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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