The Fama and French five factor model : evidence from an emerging market
Joint Authors
al-Rabadi, Hanna Walid Hanna
al-Rabadi, Dima Walid Hanna
Source
Arab Journal for Administration
Issue
Vol. 38, Issue 3 (30 Sep. 2018)11 p.
Publisher
League of Arab States The Arab Administrative Development Organization
Publication Date
2018-09-30
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Financial and Accounting Sciences
Topics
Abstract EN
This study tests the five-factor model that has recently developed by Fama and French (2015).
We use daily data of 84 companies listed in Amman stock exchange (ASE) over the period (2011-2015).
the results indicate that there is a statistically significant effect of the common risk factors, excess market return (Rm-Rf), small minus big (SMB), high minus low (HML), robust minus weak (RMW) and conservative minus aggressive(CMA) on the cross section of daily returns in ASE.
however, the Fama and French five factor model fails to perfectly explain the cross section of stock returns in ASE over the study period.
these results could be mainly justified by the fact that ASE is an emerging market in which many unexpected factors apart from fundamentals may interfere in affecting stock returns.
American Psychological Association (APA)
al-Rabadi, Dima Walid Hanna& al-Rabadi, Hanna Walid Hanna. 2018. The Fama and French five factor model : evidence from an emerging market. Arab Journal for Administration،Vol. 38, no. 3.
https://search.emarefa.net/detail/BIM-912549
Modern Language Association (MLA)
al-Rabadi, Dima Walid Hanna& al-Rabadi, Hanna Walid Hanna. The Fama and French five factor model : evidence from an emerging market. Arab Journal for Administration Vol. 38, no. 3 (Sep. 2018).
https://search.emarefa.net/detail/BIM-912549
American Medical Association (AMA)
al-Rabadi, Dima Walid Hanna& al-Rabadi, Hanna Walid Hanna. The Fama and French five factor model : evidence from an emerging market. Arab Journal for Administration. 2018. Vol. 38, no. 3.
https://search.emarefa.net/detail/BIM-912549
Data Type
Journal Articles
Language
English
Record ID
BIM-912549