A Comprehensive Test of the Fama-French Five-Factor Model in Emerging Markets

Previous studies based on a variety of behaviour, temperament, and personality measures identified a pattern of over‐activity, impulsiveness, emotional instability, and aggressiveness in children who are prone to accidents. The present study is the first to study accident‐prone children by means of a comprehensive test for the assessment of the Five Factor model (Hierarchical Personality Inventory for Children (HiPIC) (Mervielde & De Fruyt, 1999). 118 children, aged 6–15 years, who were hospitalized due to an accident‐related injury, were contrasted with 184 school‐children of the same age. Lower socio‐economic status was under‐represented in both groups. Children who were exposed to accidents had higher scores on the facets of energy, optimism, and non‐shyness (Extraversion domain), and lower scores on the facets of concentration and achievement striving (Conscientiousness domain). There was no indication of higher aggressiveness, impulsiveness, or emotional instability in the group exposed to accidents, and there were no gender‐by‐accident interactions. Results suggest that there is a relatively benign pattern of personality traits that is related to greater accident hazard in children. Copyright © 2003 John Wiley & Sons, Ltd.

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An Analysis and Comparison of Multi-Factor Asset Pricing Model Performance during Pandemic Situations in Developed and Emerging Markets

Mathematics ◽

10.3390/math10010142 ◽

2022 ◽

Vol 10 (1) ◽

pp. 142

Author(s):

Konstantin B. Kostin ◽

Philippe Runge ◽

Michel Charifzadeh

Keyword(s):

Emerging Markets ◽

Factor Model ◽

Five Factor Model ◽

Emerging Market ◽

Model Performance ◽

Research Area ◽

Emerging Countries ◽

Developed Markets ◽

The Cost ◽

Three Factor

This study empirically analyzes and compares return data from developed and emerging market data based on the Fama French five-factor model and compares it to previous results from the Fama French three-factor model by Kostin, Runge and Adams (2021). It researches whether the addition of the profitability and investment pattern factors show superior results in the assessment of emerging markets during the COVID-19 pandemic compared to developed markets. We use panel data covering eight indices of developed and emerging countries as well as a selection of eight companies from these markets, covering a period from 2000 to 2020. Our findings suggest that emerging markets do not generally outperform developed markets. The results underscore the need to reconsider the assumption that adding more factors to regression models automatically yields results that are more reliable. Our study contributes to the extant literature by broadening this research area. It is the first study to compare the performance of the Fama French three-factor model and the Fama French five-factor model in the cost of equity calculation for developed and emerging countries during the COVID-19 pandemic and other crisis events of the past two decades.

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The pricing of anomalies using factor models: a test in Latin American markets

Revista Contabilidade & Finanças ◽

10.1590/1808-057x202111640 ◽

2021 ◽

Author(s):

Gabriel Augusto de Carvalho ◽

Hudson Fernandes Amaral ◽

Juliano Lima Pinheiro ◽

Laíse Ferraz Correia

Keyword(s):

Decision Making ◽

Asset Pricing ◽

Emerging Markets ◽

Latin American ◽

Predictive Power ◽

Factor Model ◽

Five Factor Model ◽

Factor Models ◽

Second Step ◽

Relevant Factors

ABSTRACT This article aimed to test the five-factor model in Latin American emerging markets. In order to verify which set of factors best fits the data, the three- and four-factor models were also estimated. Asset pricing models have been proposed within the context of developed markets, with few empirical tests of these models performed based on emerging markets’ data. This study is based on the differences between the markets of developed and emerging countries, which affect the models’ predictive power and, thus, the investors’ decision-making process. The study also provides evidence that contributes to a more assertive decision-making by all financial market players. In addition, the study results suggest an opportunity to carry out tests with the inclusion of new factors in the models. The study sample included assets listed on stock exchanges in Brazil, Chile, Colombia, Mexico and Peru between June 1999 and June 2017. The building of the factors was based on the return differential between portfolios formed based on the characteristics of the assets, and the models were estimated using the two-step regression methodology. The results for the first- and second-step regressions indicated that the five-factor model had the best predictive power. However, in the second-step estimation, none of the models was able to fully explain the returns on the portfolios. Our conclusion is that the five-factor model showed the best performance for the sample, although there may be other relevant factors that could be incorporated into it. The main contribution of this article lies in the better knowledge it provides of the relevant factors for the asset pricing in emerging markets.

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Do fundamental portfolios outperform in the MENA equity markets?

International Journal of Islamic and Middle Eastern Finance and Management ◽

10.1108/imefm-07-2018-0230 ◽

2019 ◽

Vol 12 (2) ◽

pp. 265-281

Author(s):

Rasha Tawfiq Abadi ◽

Florinda Silva

Keyword(s):

Emerging Markets ◽

Performance Measures ◽

Factor Model ◽

Five Factor Model ◽

Cash Flows ◽

Large Set ◽

Content Type ◽

Weighted Portfolio ◽

Fama And French ◽

Concentration Levels

Purpose This study aims to investigate the performance of fundamental weighted portfolios (using sales, cash flows, dividends, book values and a composite of all these variables), an equal weighted portfolio and a smoothed cap-weighted (CW) portfolio in Middle East and North Africa (MENA) markets. The performance of these portfolios is compared with that of a CW portfolio for the period 2005 to 2015. Design/methodology/approach The portfolios are formed using different concentration levels, different construction schemes and different sub-regions. The performance is assessed using a large set of risk-adjusted performance measures, including more robust measures in the context of multi-factor models, such as the Fama and French (1993) three-factor model, the Fama and French (2015) five-factor model and a seven-factor model. Findings The results show that the fundamental portfolios, with the exception of the sales portfolio, underperform the CW portfolio using either the traditional or more robust risk-adjusted performance measures. The underperformance of the fundamental portfolios is found to be robust using different concentration levels, different construction schemes and different sub-regions. The results also show that the equal weighted portfolio outperforms the CW portfolio using traditional risk-adjusted measures. However, after controlling for additional risk factors, this outperformance disappears. Practical implications The failure of fundamental indexation in the emerging markets could help the researchers and the academics to search for the best weighting method that could be used as an alternative to the CW indexation method. Originality/value The results of the study add evidence to the debatable propositions on the performance of fundamental portfolios in emerging markets. Furthermore, the findings may help domestic and international investors, practitioners and decision-makers to deepen their knowledge in terms of the best portfolio construction scheme in the MENA region.

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Social Desirability in Personality Inventories

Journal of Individual Differences ◽

10.1027/1614-0001/a000138 ◽

2014 ◽

Vol 35 (3) ◽

pp. 144-157 ◽

Cited By ~ 12

Author(s):

Martin Bäckström ◽

Fredrik Björklund

Keyword(s):

Social Desirability ◽

Big Five ◽

Work Performance ◽

Factor Model ◽

Five Factor Model ◽

Peer Ratings ◽

Personality Inventories ◽

Model Study ◽

The Difference ◽

New Variables

The difference between evaluatively loaded and evaluatively neutralized five-factor inventory items was used to create new variables, one for each factor in the five-factor model. Study 1 showed that these variables can be represented in terms of a general evaluative factor which is related to social desirability measures and indicated that the factor may equally well be represented as separate from the Big Five as superordinate to them. Study 2 revealed an evaluative factor in self-ratings and peer ratings of the Big Five, but the evaluative factor in self-reports did not correlate with such a factor in ratings by peers. In Study 3 the evaluative factor contributed above the Big Five in predicting work performance, indicating a substance component. The results are discussed in relation to measurement issues and self-serving biases.

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Construction and Validation of a Short Adjectives Checklist to Measure Big Five (SACBIF)

European Journal of Psychological Assessment ◽

10.1027/1015-5759.12.1.33 ◽

1996 ◽

Vol 12 (1) ◽

pp. 33-42 ◽

Cited By ~ 12

Author(s):

Marco Perugini ◽

Luigi Leone

Keyword(s):

Construct Validity ◽

Psychometric Properties ◽

Big Five ◽

Factor Model ◽

Five Factor Model ◽

Selection Procedure ◽

Factorial Structure ◽

Personality Dimensions

The aim of this contribution is to present a new short adjective-based measure of the Five Factor Model (FFM) of personality, the Short Adjectives Checklist of BIg Five (SACBIF). We present the various steps of the construction and the validation of this instrument. First, 50 adjectives were selected with a selection procedure, the “Lining Up Technique” (LUT), specifically used to identify the best factorial markers of the FFM. Then, the factorial structure and the psychometric properties of the SACBIF were investigated. Finally, the SACBIF factorial structure was correlated with some main measures of the FFM to establish its construct validity and with some other personality dimensions to investigate how well these dimensions could be represented in the SACBIF factorial space.

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Factorial Invariance of Child Self-Report Across English and Spanish Language Groups in a Hispanic Population Utilizing the PedsQL™ 4.0 Generic Core Scales

European Journal of Psychological Assessment ◽

10.1027/1015-5759/a000026 ◽

2010 ◽

Vol 26 (3) ◽

pp. 194-202 ◽

Cited By ~ 11

Author(s):

Daniel A. Newman ◽

Christine A. Limbers ◽

James W. Varni

Keyword(s):

Health Care Services ◽

Factor Model ◽

Five Factor Model ◽

Well Being ◽

Factorial Invariance ◽

Spanish Language ◽

Self Report ◽

Hispanic Population ◽

Language Groups ◽

Related Quality

The measurement of health-related quality of life (HRQOL) in children has witnessed significant international growth over the past decade in an effort to improve pediatric health and well-being, and to determine the value of health-care services. In order to compare international HRQOL research findings across language groups, it is important to demonstrate factorial invariance, i.e., that the items have an equivalent meaning across the language groups studied. This study examined the factorial invariance of child self-reported HRQOL across English- and Spanish-language groups in a Hispanic population of 2,899 children ages 8–18 utilizing the 23-item PedsQL™ 4.0 Generic Core Scales. Multigroup confirmatory factor analysis (CFA) was performed specifying a five-factor model across language groups. The findings support an equivalent 5-factor structure across English- and Spanish-language groups. Based on these data, it can be concluded that children across the two languages studied interpreted the instrument in a similar manner. The multigroup CFA statistical methods utilized in the present study have important implications for cross-cultural assessment research in children in which different language groups are compared.

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