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A comprehensive test of the Fama-French five-factor model in emerging markets

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  • Foye, James

Abstract

This paper evaluates whether the new Fama-French five-factor model is able to offer a better description of emerging market equity returns than the three-factor model. Using an extensive sample of 18 countries from three different regions, the paper is the first to test the performance of the five-factor model across a broad range of emerging markets. The five-factor model consistently outperforms the three-factor model in Eastern Europe and Latin America. However, a profitability or investment premium cannot be distinguished in the Asian factors and the five-factor model fails to provide an improved description of equity returns in the region.

Suggested Citation

  • Foye, James, 2018. "A comprehensive test of the Fama-French five-factor model in emerging markets," Emerging Markets Review, Elsevier, vol. 37(C), pages 199-222.
    • Handle: RePEc:eee:ememar:v:37:y:2018:i:c:p:199-222
    DOI: 10.1016/j.ememar.2018.09.002
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    More about this item

    Keywords

    Emerging equity returns; Fama-French three-factor model; Fama-French five-factor model;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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