The dominant multifactor models today are variants of the Fama-French model, incorporating market, size, value, momentum, and,
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The dominant multifactor models today are variants of the Fama-French model, incorporating market, size, value, momentum, and, sometimes, liquidity or other factors. However, the recent emergence of an ever-growing collection of discovered factors casts doubt on the validity of many of these findings. This has led to several suggestions that the criteria for widespread acceptance of a priced factor be tightened. pl856
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Related Book For
ISE Investments
ISBN: 9781266085963
13th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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