【FinE】FamaFrench 5 Factors asset pricing Model（FF五因子模型）

Fama French 5 factors

Nobel laureate E.Fama和K.French开发了5因子模型，该模型基于他们在1993年开发的3因子模型(market risk, size and value).
公司规模效应(size effect)：市值较小的公司比市值较大的公司具有更高的盈利能力，这个效应在1963-1990年期间存在.
价值效应(value effect)：低市净率(price to book, 股价与每股账面价值之比)的股票比高市净率的股票有着更好的表现(superior performance).

Fama和French加入了两个新的因子到传统的3因子模型中
盈利能力(profitability)：具有更高盈利能力的公司表现更好
投资价值(investment factor)：可以使用再投资率衡量(stocks of companies with the high total asset growth have below average returns).

Some Drawbacks

关于Fama-French 5因子模型的缺陷，这里直接引用Robeco experts的原文

Van Vliet sees the addition of two more quality factors as a big change from the old model，If you exclude market risk, the new model effectively doubles the number of factors to four. All these factors interact, which make it more difficult summarize the cross section of stock returns.
David Blitz is also critical about the way the empirical research is approached. This approach can even ben considered as a form of tautology(他认为这种方法的本质是同义反复), because they use five factors to explain the returns of those five factors.
The two new factors(profitability and investment) are thus used to explain their own performance. I would prefer it if they showed that just a handful of factors can be used to explain the performance of the numerous factors found in the literature.

同时Fama和French在论文¹的ABSTRACT中提到

The five-factor model’s main problem is its failure to capture the low average returns on small stocks whose returns behave like those of firms that invest a lot despite low profitability.

Van Vliet认为5因子模型中遗漏了动量因子(momentum)和低波动性因子(low volatility)，但是舍弃这两个因子有着实际应用方面的考虑.

The market factor, which is similar to the beta factor of the capital asset pricing model, still assumes hgiher returns for higher risk, while a low-volatility factor would assume the opposite. An alternative approach would be to scrap the market factor altogether, but they did not choose this more radical step.

References

Fama-French 5-factor model: why more is not always better
a five factors asset pricing model
Fundamental_Factor_Models_Using_Machine_Learning
Fama-French五因子模型

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1. a five factors asset pricing model ↩︎