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Jurnal

Journal of Financial Economics

Keyword

International asset pricing; Multifactor models; Dividend discount model

Pengarang

  1. Eugene F. Fama
  2. Kenneth R. French

    Subject

    1. ECONOMIC
    2. FINANCIAL

      [Abstrak]

      Average stock returns for North America, Europe, and Asia Pacific increase with the book-to-market ratio (B/M) and profitability and are negatively related to investment. For Japan, the relation between average returns and B/M
      is strong, but average returns show little relation to profitability or
      investment. A five-factor model that adds profitability and investment
      factors to the three-factor model of Fama and French (1993) largely absorbs the patterns in average returns. As in Fama and French (2015, 2016),
      the model's prime problem is failure to capture fully the low average
      returns of small stocks whose returns behave like those of low
      profitability firms that invest aggressively.

      Periode

      Vol 123, Nomor 3, Tahun 2017

      [Berkas]

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