Scholar4AI Updated 2026-10-26 12:13 UTC+09:00

Fama-French five-factor model

area: Asset pricing and risk · 1 papers in the last 7 days

← Most-used equations and models

Rit−Rft=αi+biMKTt+siSMBt+hiHMLt+riRMWt+ciCMAt+εit

Adds profitability (RMW) and investment (CMA) factors to the three-factor model.

LaTeX: R_{it} - R_{ft} = \alpha_i + b_i\,\mathit{MKT}_t + s_i\,\mathit{SMB}_t + h_i\,\mathit{HML}_t + r_i\,\mathit{RMW}_t + c_i\,\mathit{CMA}_t + \varepsilon_{it}

Names searched for: Fama-French five-factor, Fama and French five-factor, Fama-French 5-factor, five-factor model, FF5

Key findings

  • Fama-French five-factor model was mentioned in 14 papers in the last 30 days (2026-09-27 to 2026-10-26), ranking #55 of the 104 equations and models mentioned.
  • By journal category: Finance (11), Management (2) and Economics (1).
  • Most of them appeared in International Review of Economics & Finance (3), Financial markets and portfolio management (2) and Research in International Business and Finance (2).
  • Often mentioned together with Ordinary least squares (OLS) (6), Logistic regression (logit) (6) and Carhart four-factor model (5).
  • Datasets named in the same papers: S&P 500 (5), OR-Library (5) and CRSP (4).
Papers mentioning Fama-French five-factor model, newest first.
DateTitleJournalAuthorsAffiliations
2026-10-23From pixels to profits: trading arbitrage portfolios based on image representationsFinancial markets and portfolio managementNiklas PaluszkiewiczUniversität Ulm
2026-10-14Explaining the cross-section of Japanese equity returns using equi-correlation structures and component selectionInternational Review of Economics & FinanceTakayuki Morimoto, Yohji Akama, Yoshinori Kawasaki
2026-10-13Implied temperature rise metrics: a compass without direction?Financial markets and portfolio managementManuel C. Kathan, Moritz Reisser, Sebastian UtzUniversity of Augsburg; University of St.Gallen; Center for Climate and Resilience Research; …
2026-10-09A new kid on the new block: DeepSeek release impact on U.S. AI firms, tech sector and the broader marketsResearch in International Business and FinanceMuhammad Naveed, Constantin Gurdgiev, Shoaib AliBahria University; University of Northern Colorado; International University of Rabat
2026-10-08Behavioral drivers of cryptocurrency markets: A systematic reviewJournal of Behavioral and Experimental FinanceSebastian Steindl, Hans Rüdiger Kaufmann, Bernd BritzelmaierUniversity of Nicosia; Pforzheim University of Applied Sciences
2026-10-06Chronologically consistent large language modelsJournal of Financial EconomicsSongrun He, Linying Lv, Asaf Manela et al.Chinese University of Hong Kong; Washington University in St. Louis; University of Iowa
2026-10-06Sentiment interactions in financial markets: Conditional volatility, feedback, and shock propagationInternational Review of Economics & FinanceMd Tanvir HasanUniversity of Dhaka; University of Glasgow
2026-10-01Dynamic factor loadings and portfolio return prediction: Evidence from deep sequence modelsInternational Review of Economics & FinanceViktor Manahov, Zihao Hou, Dimitrios Stafylas
2026-09-30Oil prices and the pricing of green equity ETFs: Evidence on greenium dynamicsThe Journal of Finance and Data ScienceJosé Alejandro Fernández Fernández, Miguel Ángel Casquet, Sonia QuirogaUniversidad Complutense de Madrid
2026-09-30The duality of playful work design: A diary study of designing fun and competitionJournal of Business ResearchArnold B. Bakker, Jørn Hetland, Yuri S. Scharp et al.University of Ljubljana; Lingnan University; University of Johannesburg; …
2026-09-29Do trade secrets predict returns? Evidence from the Inevitable Disclosure DoctrineResearch in International Business and FinanceDi Luo, Rongbing XiaoUniversity of Dundee; Sun Yat-sen University
2026-09-29The 52-week high liquidity mirage: How behavioral convergence impairs price discoveryJournal of Banking & FinanceJoshua Della Vedova, Mingze Gao, Andrew R. Grant et al.Macquarie University; The University of Sydney; University of San Diego
2026-09-29Creative minds in the age of AI. personality traits, AI perception, and creativity tasksJournal of Behavioral and Experimental EconomicsFederico Atzori, Luca Corazzini, Alessandra GuarnieriUniversity of Cagliari; University of Milano-Bicocca
2026-09-28Personality does not directly predict brand advocacy in a utilitarian service category: a bounded null, three converging accounts, and the limits of testing cross-brand transferJournal of Marketing AnalyticsOliver Karl Valter Lindahl, Jori Grym, Christian A. Hakulinen et al.University of Helsinki; Hanken School of Economics; Aalto University