The five$-$factor asset pricing model of Fama and French $(2015)$ is shown below:

R$\_$it$-$R$\_$Ft$=$a$\_$i$+$b$\_$i $($R$\_$Mt$-$R$\_$Ft $)+$s$\_$i SMB$\_$t$+$h$\_$i HML$\_$t$+$r$\_$i RMW$\_$t$+$c$\_$i CMA$\_$t$+$e$\_$it$,$

where R$\_$it is the ordinary stock return of firm i at day t$,$ R$\_$Ft is the risk$-$free rate at day t and R$\_$Mt$-$R$\_$Ft is the market premium. Explain in detail how the CMA factor is constructed. What is the rationale for including the CMA factor in the traditional capital asset pricing model? In addition, mention other factors that can also be added to the five$-$factor asset pricing model.Question $1$:

The five$-$factor asset pricing model of Fama and French $(2015)$ is shown below:

$R_{it}-R_{Ft}=a_i+b_i(R_{Mt}-R_{Ft})+s_{i}SM{B}_t+h_{i}HM{L}_t+r_{i}RM{W}_t+c_{i}CM{A}_t+e_{it},$

where $R_{it}$ is the ordinary stock return of firm $i$ at day $t,R_{Ft}$ is the risk$-$free rate at day $t$

and $R_{Mt}-R_{Ft}$ is the market premium. Explain in detail how the CMA factor is

constructed. What is the rationale for including the CMA factor in the traditional capital

asset pricing model? In addition, mention other factors that can also be added to the

five$-$factor asset pricing model.