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Fama and French three-factor model (FF3 hereafter) and Carhart four-factor model have been used as standard pricing models and benchmark models for portfolio performance among both academics and practitioners.Fama and French five-factor model (FF5 hereafter) represents the newest addition to the multi-factor models that have been frequently used in empirical research, both in asset pricing and.
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informally referred to as low-tech empirical work, while the more structural estimations in the vein of Hansen and Singleton (1982) were considered as high-tech. Graduating from. Fama and French (1993) reject the CAPM via the GRS test of Gibbons, Ross, and Shanken (1989). Interestingly, even the Fama-French three-factor model is rejected by.
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