Monday, February 24 2020, 05:22 am
A Five-Factor Asset Pricing Model – Columbia Business School

A Five-Factor Asset Pricing Model – Columbia Business School

factors are able to explain returns on portfolios formed to produce large spreads in Size, B/M, profitability, and investment. We also look at whether performance is sensitive to the way factors are constructed. The first step is to examine the Size, B/M, profitability, and investment patterns in average returns we seek to explain. Panel A of …