Class FamaFrench5F

java.lang.Object
org.drip.investing.factors.FactorModel
org.drip.investing.model.FamaFrench5F

public class FamaFrench5F
extends FactorModel
FamaFrench3F implements the Five-Factor Fama-French Model. The References are:

  • Blitz, D., M. X. Hanauer, M. Vidojevic, and P. van Vliet (2018): Five-Factors with the Five-Factor Model Journal of Portfolio Management 44 (4) 71-78
  • Fama, E. F., and K. R. French (1992): The Cross-section of Expected Stock Returns Journal of Finance 47 (2) 427-465
  • Fama, E. F., and K. R. French (2015): A Five-Factor Asset Pricing Model Journal of Financial Economics 116 (1) 1-22
  • Foye, J. (2018): Testing Alternative Versions of the Fama-French Five-Factor Model in the UK Risk Management 20 (2) 167-183
  • Wikipedia (2024): Fama–French three-factor model https://en.wikipedia.org/wiki/Fama%E2%80%93French_three-factor_model


Author:
Lakshmi Krishnamurthy
  • Method Details

    • Standard

      public static final FamaFrench5F Standard​(MarketFactor marketFactor, CapitalizationFactor capitalizationFactor, ValueFactor valueFactor, ProfitabilityFactor profitabilityFactor, InvestmentFactor investmentFactor)
      Construct a Standard Instance of the 5F Fama-French Model using the Factor Instances
      Parameters:
      marketFactor - Market Factor
      capitalizationFactor - Capitalization Factor
      valueFactor - Value Factor
      profitabilityFactor - Profitability Factor
      investmentFactor - Investment Factor
      Returns:
      Standard Instance of the 5F Fama-French Model