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What is Fama-French Models in Emerging Markets about?

This study investigates how the Fama and French three-, four-, and five-factor models perform in emerging markets. The authors find that the four- and five-factor models perform better than the three-factor model in most tests. They also find evidence of size effects in returns and some investment effects, but little evidence of value or profitability effects. Local factors also perform better than US or global factors, showing emerging market segmentation.

Author

tutimassa2008

Language

EN