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Mispricing and the five-factor model

Walkshäusl, Christian



Abstract

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. (C) 2016 Elsevier B.V. All rights reserved.


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