The Fama and French Five Factor Model: Evidence from an Emerging Market

Alrabadi, Dima Waleed Hanna; Alrabadi, Hanna Waleed Hanna

doi:10.21608/aja.2018.17439

	The Fama and French Five Factor Model: Evidence from an Emerging Market
المجلة العربية للإدارة
Article 16, Volume 38, Issue 2, June 2018, Pages 295-304 PDF (235.15 K)
Document Type: بحوث باللغة العربیة
DOI: 10.21608/aja.2018.17439
Authors
Dima Waleed Hanna Alrabadi¹; Hanna Waleed Hanna Alrabadi²
¹Department of Finance and Banking Sciences, Faculty of Economics and Administrative Sciences, Yarmouk University, Jordan
²Department of Financial Economics, Faculty of Economics and Administrative Sciences, Yarmouk University, Jordan
Abstract
This study tests the five-factor model that has recently developed by Fama and French (2015). We use daily data of 84 companies listed in Amman Stock Exchange (ASE) over the period (2011-2015). The results indicate that there is a statistically significant effect of the common risk factors, excess market return (Rm-Rf), small minus big (SMB), high minus low (HML), robust minus weak (RMW) and conservative minus aggressive (CMA) on the cross section of daily returns in ASE. However, the Fama and French five factor model fails to perfectly explain the cross section of stock returns in ASE over the study period. These results could be mainly justified by the fact that ASE is an emerging market in which many unexpected factors apart from fundamentals may interfere in affecting stock returns.
Keywords
Fama and French; Five Factor Model; profitability; Investment Growth; Amman Stock Exchange

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