This study constructs a UK version Fama-French asset pricing factors and portfolios. The Fama-French five factor model is augmented with a momentum factor to form the six-factor model. The performance of the Fama-French three-, Carhart four-, Fama-French five and six-factor models is comprehensively compared. The three- and four-factor models perform poorly comparing with the five-factor and six-factor models. The profitability factor appears to be a promising factor while the investment factor is redundant in the UK market. It is shown that a four-factor model that includes the market, value, momentum and profitability factors perform better than the other models in explaining the cross-sectional variation of stock returns.
|Publication status||Accepted/In press - 27 Feb 2017|
|Event||2017 WHITE ROSE DOCTORAL TRAINING CENTRE ECONOMICS PHD CONFERENCE - |
Duration: 7 Apr 2017 → 7 Apr 2017
|Conference||2017 WHITE ROSE DOCTORAL TRAINING CENTRE ECONOMICS PHD CONFERENCE|
|Period||7/04/17 → 7/04/17|