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1、JournalofFinancialEconomics116(2015)1–22ContentslistsavailableatScienceDirectJournalofFinancialEconomicsjournalhomepage:www.elsevier.com/locate/jfec$Afive-factorassetpricingmodelab,nEugeneF.Fama,KennethR.FrenchaBoothSchoolofBusiness,UniversityofChicago,USAbTuckSchoolofB
2、usiness,DartmouthCollege,Hanover,NH03750,USAarticleinfoabstractArticlehistory:Afive-factormodeldirectedatcapturingthesize,value,profitability,andinvestmentReceived12May2014patternsinaveragestockreturnsperformsbetterthanthethree-factormodelofFamaandReceivedinrevisedformF
3、rench(FF,1993).Thefive-factormodel'smainproblemisitsfailuretocapturethelow13August2014averagereturnsonsmallstockswhosereturnsbehavelikethoseoffirmsthatinvestalotAccepted11September2014despitelowprofitability.Themodel'sperformanceisnotsensitivetothewayitsfactorsAvailable
4、online29October2014aredefined.Withtheadditionofprofitabilityandinvestmentfactors,thevaluefactorofJELclassification:theFFthree-factormodelbecomesredundantfordescribingaveragereturnsintheG12sampleweexamine.&2014ElsevierB.V.Allrightsreserved.Keywords:AssetpricingmodelFacto
5、rmodelDividenddiscountmodelProfitabilityInvestment1.Introduction(approximately)thelong-termaverageexpectedstockreturnor,moreprecisely,theinternalrateofreturnonThereismuchevidencethataveragestockreturnsareexpecteddividends.relatedtothebook-to-marketequityratio,B/M.Therei
6、sEq.(1)saysthatifattimetthestocksoftwofirmsalsoevidencethatprofitabilityandinvestmentaddtothehavethesameexpecteddividendsbutdifferentprices,thedescriptionofaveragereturnsprovidedbyB/M.Wecanstockwithalowerpricehasahigher(long-termaverage)usethedividenddiscountmodeltoexpl
7、ainwhytheseexpectedreturn.Ifpricingisrational,thefuturedividendsvariablesarerelatedtoaveragereturns.Themodelsaysofthestockwiththelowerpricemusthavehigherrisk.themarketvalueofashareofstockisthediscountedvalueThepredictionsdrawnfrom(1),hereandbelow,are,ofexpecteddividends
8、pershare,however,thesamewhetherthepriceisrationalorirrational.1m¼∑EðdÞ=ð1þrÞτ:ð1ÞWithabitofmanipulation,wecane
