When DoandWhichFama–French Factors Explain Industry Returns?
研究了Fama-French五因子和宏观经济变量在不同年代（1960年代起）和行业中的统计显著性，发现因子显著性因年代和行业而异，且宏观变量在因子存在时往往失去显著性。对投资组合经理基于因子模型选择行业有参考价值。
The author examines the statistical significance of the five Fama–French factors and several macroeconomic variables by decade (since the 1960s) and industry. The main findings indicate that not all factors were significant in each decade and for each industry. Also, when the Fama–French factors were present in the regressions, the macroeconomic variables often lost their significance for these industries in each decade. Finally, when constructing factors out of the macro variables, it was found that they were significant for many industries, mainly from the 1970s through the 1990s and part of the 2010s. These findings have implications for portfolio managers when selecting industries based on factor models.