Seeking Alpha

Fama And French: The Five-Factor Model Revisited

How well has Fama and French’s five-factor model explained returns over the decades? According to our analysis, only one factor has truly held up over all time periods. To gauge a factor’s performance ...
Scientific Research Publishing

Machine Learning for Financial Risk Management: Modeling Time-Varying Factor Sensitivities Using Factor Variational Autoencoders ()

Accurate measurement of time-varying systematic risk exposures is essential for robust financial risk management.
Business Insider

News Sentiment Data Proves Itself as an Alternative to the Fama-French Model in Determining Outsized Returns, According to Latest Research from Acuity Analytics

LONDON, July 20, 2021 /PRNewswire/ -- In their latest quantitative research published today, Acuity Analytics share their recent findings on the use of a macroeconomic factor model for stock returns ...
JSTOR Daily

Testing alternative versions of the Fama–French five-factor model in the UK

This paper evaluates whether the new Fama–French five-factor model is able to offer an improved method for pricing investment risk in UK equity returns. The paper extends previous studies by testing ...