The US equity market premium surged 19.8% last year via daily data. By contrast, the size and value premia lost 7.9% and 7.2% ...

This project set out to examine the Fama-French Three and Five-Factor Models in order to determine which model resulted in the greatest profit. First, a brief ...

At its core, a factor represents certain characteristics of stocks that can explain the differences in returns over time. Renowned researchers Fama and French identified five such factors ...

We treat expenditures that create intangible assets as investments and instead of expensing them, we add them back to earnings when measuring the return on equity of firms while constructing the ...

Returns the loadings of returns on the Fama French Factors: 1- The Fama-French model is a three-factor model which enhance the CAPM ... 4- Returns is either a Series. 5- The "regression" function runs ...