Fama–French three-factor model (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Fama–French three-factor model" in English language version.

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aqr.com

"Our Model Goes to Six and Saves Value from Redundancy Along the Way".

doi.org

Petkova, Ralitsa (2006). "Do the Fama–French Factors Proxy for Innovations in Predictive Variables?". Journal of Finance. 61 (2): 581–612. doi:10.1111/j.1540-6261.2006.00849.x.
"Principal Components Analysis and Factor Analysis". Financial Econometrics. Hoboken, NJ, USA: John Wiley & Sons, Inc. 2015-08-29. pp. 429–464. doi:10.1002/9781119201847.ch13. ISBN 9781119201847. Factor models are statistical models that try to explain complex phenomena through a small number of basic causes or factors.
Fama, E. F.; French, K. R. (1993). "Common risk factors in the returns on stocks and bonds". Journal of Financial Economics. 33: 3–56. CiteSeerX 10.1.1.139.5892. doi:10.1016/0304-405X(93)90023-5.
Fama, E. F.; French, K. R. (1992). "The Cross-Section of Expected Stock Returns". The Journal of Finance. 47 (2): 427. doi:10.1111/j.1540-6261.1992.tb04398.x. JSTOR 2329112.
Griffin, J. M. (2002). "Are the Fama and French Factors Global or Country Specific?" (PDF). Review of Financial Studies. 15 (3): 783–803. doi:10.1093/rfs/15.3.783. JSTOR 2696721.^{[permanent dead link]}
Fama, E. F.; French, K. R. (2012). "Size, value, and momentum in international stock returns". Journal of Financial Economics. 105 (3): 457. doi:10.1016/j.jfineco.2012.05.011.
Cakici, N.; Fabozzi, F. J.; Tan, S. (2013). "Size, value, and momentum in emerging market stock returns". Emerging Markets Review. 16 (3): 46–65. doi:10.1016/j.ememar.2013.03.001.
Hanauer, M.X.; Linhart, M. (2015). "Size, Value, and Momentum in Emerging Market Stock Returns: Integrated or Segmented Pricing?". Asia-Pacific Journal of Financial Studies. 44 (2): 175–214. doi:10.1111/ajfs.12086.
Fama, E. F.; French, K. R. (2015). "A Five-Factor Asset Pricing Model". Journal of Financial Economics. 116: 1–22. CiteSeerX 10.1.1.645.3745. doi:10.1016/j.jfineco.2014.10.010.
Gibbons M; Ross S; Shanken J (September 1989). "A test of the efficiency of a given portfolio". Econometrica. 57 (5): 1121–1152. CiteSeerX 10.1.1.557.1995. doi:10.2307/1913625. JSTOR 1913625.
Foye, James (2018-05-02). "Testing Alternative Versions of the Fama-French Five-Factor Model in the UK". Risk Management. 20 (2): 167–183. doi:10.1057/s41283-018-0034-3. S2CID 159015203.
Blitz, David; Hanauer, Matthias X.; Vidojevic, Milan; Vliet, Pim van (2018-03-31). "Five Concerns with the Five-Factor Model". The Journal of Portfolio Management. 44 (4): 71–78. doi:10.3905/jpm.2018.44.4.071. ISSN 0095-4918. S2CID 157288530.
Carhart, M. M. (1997). "On Persistence in Mutual Fund Performance". The Journal of Finance. 52 (1): 57–82. doi:10.1111/j.1540-6261.1997.tb03808.x. JSTOR 2329556.

jstor.org

Fama, E. F.; French, K. R. (1992). "The Cross-Section of Expected Stock Returns". The Journal of Finance. 47 (2): 427. doi:10.1111/j.1540-6261.1992.tb04398.x. JSTOR 2329112.
Griffin, J. M. (2002). "Are the Fama and French Factors Global or Country Specific?" (PDF). Review of Financial Studies. 15 (3): 783–803. doi:10.1093/rfs/15.3.783. JSTOR 2696721.^{[permanent dead link]}
Gibbons M; Ross S; Shanken J (September 1989). "A test of the efficiency of a given portfolio". Econometrica. 57 (5): 1121–1152. CiteSeerX 10.1.1.557.1995. doi:10.2307/1913625. JSTOR 1913625.
Carhart, M. M. (1997). "On Persistence in Mutual Fund Performance". The Journal of Finance. 52 (1): 57–82. doi:10.1111/j.1540-6261.1997.tb03808.x. JSTOR 2329556.

nobelprize.org

"The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2013".

pm-research.com

jpm.pm-research.com

Blitz, David; Hanauer, Matthias X.; Vidojevic, Milan; Vliet, Pim van (2018-03-31). "Five Concerns with the Five-Factor Model". The Journal of Portfolio Management. 44 (4): 71–78. doi:10.3905/jpm.2018.44.4.071. ISSN 0095-4918. S2CID 157288530.

psu.edu

citeseerx.ist.psu.edu

Fama, E. F.; French, K. R. (1993). "Common risk factors in the returns on stocks and bonds". Journal of Financial Economics. 33: 3–56. CiteSeerX 10.1.1.139.5892. doi:10.1016/0304-405X(93)90023-5.
Fama, E. F.; French, K. R. (2015). "A Five-Factor Asset Pricing Model". Journal of Financial Economics. 116: 1–22. CiteSeerX 10.1.1.645.3745. doi:10.1016/j.jfineco.2014.10.010.
Gibbons M; Ross S; Shanken J (September 1989). "A test of the efficiency of a given portfolio". Econometrica. 57 (5): 1121–1152. CiteSeerX 10.1.1.557.1995. doi:10.2307/1913625. JSTOR 1913625.

semanticscholar.org

api.semanticscholar.org

Foye, James (2018-05-02). "Testing Alternative Versions of the Fama-French Five-Factor Model in the UK". Risk Management. 20 (2): 167–183. doi:10.1057/s41283-018-0034-3. S2CID 159015203.
Blitz, David; Hanauer, Matthias X.; Vidojevic, Milan; Vliet, Pim van (2018-03-31). "Five Concerns with the Five-Factor Model". The Journal of Portfolio Management. 44 (4): 71–78. doi:10.3905/jpm.2018.44.4.071. ISSN 0095-4918. S2CID 157288530.

ssrn.com

papers.ssrn.com

Pahor, Marko; Mramor, Dusan; Foye, James (2016-03-04). "A Respecified Fama French Three Factor Model for the Eastern European Transition Nations". SSRN 2742170. {{cite journal}}: Cite journal requires |journal= (help)

worldcat.org

Blitz, David; Hanauer, Matthias X.; Vidojevic, Milan; Vliet, Pim van (2018-03-31). "Five Concerns with the Five-Factor Model". The Journal of Portfolio Management. 44 (4): 71–78. doi:10.3905/jpm.2018.44.4.071. ISSN 0095-4918. S2CID 157288530.

yale.edu

faculty.som.yale.edu

Griffin, J. M. (2002). "Are the Fama and French Factors Global or Country Specific?" (PDF). Review of Financial Studies. 15 (3): 783–803. doi:10.1093/rfs/15.3.783. JSTOR 2696721.^{[permanent dead link]}