Size,value, profitability,and investment: Evidence from emerging markets |
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| Affiliation: | 1. Pontifical Catholic University of Rio de Janeiro, Rua Marquês de São Vicente, 225, Gávea – Rio de Janeiro, RJ 22451-900, Brazil;2. Banco Central do Brasil, Av. Presidente Vargas, 730, Centro – Rio de Janeiro, RJ 20071-900, Brazil;1. Newcastle Business School, University of Newcastle, Newcastle, NSW 2300, Australia;2. Department of Banking and Finance, Monash University, Caulfield, Victoria 3145, Australia |
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| Abstract: | 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. |
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