Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5058080 | Economics Letters | 2016 | 4 Pages |
Abstract
â¢The misvaluation factor UMO cannot be explained by the five-factor model.â¢However, SMB, HML, RMW, and CMA are rendered insignificant in the presence of UMO.â¢A misvaluation factor-augmented CAPM performs similar to the five-factor model.
The information about expected returns contained in the size, value, profitability, and investment factors of Fama and French's five-factor model is rendered insignificant in the presence of a systematic misvaluation factor. A parsimonious two-factor model consisting of the market factor and a systematic misvaluation factor provides in general a similar description of average returns as the five-factor model.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Christian Walkshäusl,