Analysis of US Sector of Services with a New Fama-French 5-Factor Model

• 作 者: Quan Yang Liuling Li Qingyu Zh
• 机 构: CollegeofTourismandServiceManagement,EconomicsSchool,DepartmentofComputerScience,EconomicsDepartment
• 出 处: 应用数学(英文)
• 发表日期: 2017年9期
• 关键词: FAMA-FRENCH 5-Factor Model (FF5) Standardized Standard ASYMMETRIC EXPONENTIAL Po

In this paper, we empirically test a new model with the data of US services sector, which is an extension of the 5-factor model in Fama and French (2015) [1]. 3 types of 5 factors (Global, North American and US) are compared. Empirical results show the Fa