Five Concerns with the Five-Factor Model
指出Fama-French五因子模型虽比三因子模型解释力更强，但仍存在市场贝塔关系不成立、忽略动量效应、盈利与投资因子稳健性存疑、经济逻辑不清及无法终结资产定价争论等五个问题。
The new Fama–French five-factor model is likely to become the new benchmark for asset pricing studies. Although the five-factor model exhibits significantly improved explanatory power compared to its predecessor, the classic three-factor model, the authors identify five concerns with regard to the new model. First, it maintains the capital asset pricing model’s relation between market beta and return, despite mounting evidence that the empirical relation is flat, or even negative. Second, it continues to ignore the, by now widely accepted, momentum effect. Third, there are a number of robustness concerns with regard to the two new factors, profitability and investment. Fourth, whereas risk-based explanations were key for justifying the factors in the three-factor model, the economic rationale for the two new factors is much less clear. Fifth and finally, it does not seem likely that the five-factor model is going to settle the main asset pricing debates or lead to consensus. <b>TOPIC:</b>Factor-based models