The Journal of Portfolio Management Quantitative Special Issue 2018, 44 (4) 71-78
五因子模型的五大关注点
作者：D Blitz（Robeco Asset Management - Quantitative Strategies）
MX Hanauer（Robeco Asset Management - Quantitative Strategies; Technische Universit?t München (TUM)）
M Vidojevic（VU University Amsterdam, Finance; Robeco Asset Management）
P Van Vliet（Robeco Asset Management - Quantitative Strategies）
摘要：新的Fama-French五因子模型可能成为资产定价研究的新基准。虽然与传统的三因子模型相比，五因子模型的解释能力有了显著提高，但作者发现了关于新模型的五个关注点。首先，它保持了资本资产定价模型中市场贝塔和收益之间的关系，尽管越来越多的实证证据表明它们呈水平关系，甚至有证据表明它们是负相关的。第二，它一直忽视目前已被广泛接受的动量效应。第三，该模型的盈利能力和投资模式两个新因子存在稳健性问题。第四，虽然基于风险的解释是证明三因子模型中各个因子的关键，但这两个新因子的经济原理却不甚清晰。第五，也是最后一点，五因子模型似乎不太可能解决主要的资产定价争论，也不能达成共识。
Five Concerns with the Five-Factor Model
D Blitz（Robeco Asset Management - Quantitative Strategies）；MX Hanauer（Robeco Asset Management - Quantitative Strategies; Technische Universit?t München (TUM)）；M Vidojevic（VU University Amsterdam, Finance; Robeco Asset Management）；P Van Vliet（Robeco Asset Management - Quantitative Strategies）
ABSTRACT
The new Fama–French five-factor model is likely to become the new benchmark for asset pricing studies. Although the five-factor model exhibits significantly improved explanatory power compared to its predecessor, the classic three-factor model, the authors identify five concerns with regard to the new model. First, it maintains the capital asset pricing model’s relation between market beta and return, despite mounting evidence that the empirical relation is flat, or even negative. Second, it continues to ignore the, by now widely accepted, momentum effect. Third, there are a number of robustness concerns with regard to the two new factors, profitability and investment. Fourth, whereas risk-based explanations were key for justifying the factors in the three-factor model, the economic rationale for the two new factors is much less clear. Fifth and finally, it does not seem likely that the five-factor model is going to settle the main asset pricing debates or lead to consensus.
原文链接：
http://jpm.iijournals.com/content/44/4/71
翻译：黄涛
