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元の論文は下記の通りです。
出典元：SSRN
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Constructing and Evaluating the 7-factor Extended Fama-French Model
Introduction
The application of asset pricing models plays a crucial role in understanding stock market dynamics and pricing anomalies. One such model that has garnered significant attention is the Fama-French model, initially introduced as a 3-factor model and later extended to include additional factors. In this study, we delve into the construction and evaluation of the 7-factor Extended Fama-French model, which incorporates new factors like “Volume” and “Turnover” to enhance its explanatory power. By analyzing U.S. stock market data across various crisis periods, the study aims to showcase the superiority of this model over its predecessors.
Construction of the 7-factor Extended Fama-French Model
The evolution of the Fama-French model from a 3-factor to a 7-factor model signifies a continuous effort to improve the understanding of asset pricing. Dmitry Garmash’s research explores the systematic factors underlying the 7-factor Extended Fama-French model, with the addition of factors like profitability, investment, momentum, volume, and turnover. By incorporating these factors, the model aims to provide a more comprehensive explanation of international stock market returns, addressing existing anomalies and enhancing the model’s descriptive power.
Performance Evaluation and Comparison
The study conducts a thorough performance evaluation of the 7-factor Extended Fama-French model compared to the traditional 5- and 6-factor models. Utilizing risk premiums, portfolio formation, linear regressions, and the GRS test, the research highlights the model’s strengths in explaining anomalies such as the low-volatility anomaly and momentum premium. The empirical results and parameter estimations using the Maximum Empirical Likelihood Estimator further underscore the significance and performance of the factors incorporated in the model.
Key Insights and Sustainability Concerns
While the study showcases the improved explanatory power of the 7-factor model, it also raises sustainability concerns regarding the newly introduced factors. Questions regarding the effectiveness of “Volume” and “Turnover” in different historical periods and asset classes are posed, along with uncertainties surrounding the risk factors and expected returns associated with these additions. Despite these concerns, the model’s enhanced coefficient significance and explanatory power suggest promising implications for understanding stock market behavior.
In conclusion, the construction and evaluation of the 7-factor Extended Fama-French model represent a significant advancement in asset pricing research. By incorporating additional factors and analyzing their performance, this study contributes valuable insights to the ongoing discourse on multi-factor models and underscores the importance of rigorously evaluating model sustainability and effectiveness in financial research.
