The Alternative Three‐Factor Model: An Alternative beyond US Markets?
研究了替代三因子模型在40个非美国股票市场的表现，发现Fama-French三因子模型更能描述平均回报，结论稳健于多种检验。
Abstract We investigate the performance of the alternative three‐factor model across markets. The important US evidence of Chen et al. (2010) in favour of the alternative model does not translate to a test setting using data from 40 non‐US stock markets. The three‐factor model of Fama and French provides persistently a better description of average returns. Our analysis is robust across developed and emerging markets, robust to alternative measures of investment and profitability, to seasonality effects, to size‐segmented subsamples and subperiods, to various test assets, and to the two‐stage cross‐section regression approach to test for priced factors.