اندازه، ارزش، سودآوری و سرمایه گذاری: شواهد از بازارهای نوظهور

In this study, we investigate how the Fama and French three-, four-, and five-factor models perform in emerging markets. We find that the four- and five-factor models perform better than the three-factor model in most of our tests. We note that the value factor seems to be somewhat redundant in the presence of profitability and investment factors. We find clear evidence of size effects in average stock excess returns, little evidence of value and profitability effects, and some investment effects. Finally, the local factors perform better than the US and global factors do, showing evidence of emerging market segmentation.