| Author (Year) | Research Purpose | Model | Estimation Method | Data Country | Model factors | Frequency & Period |
| Panel A: Extension of Factor Model | ||||||
| Fama et.al. (1993) | CAPM Extension | FF3 | - | USA | Mkt, SMB, HML, WML | M1963:7 - 1991:12 |
| Carhart (1997) | FF3 Extention | CAPM, FF3, C4 | OLS | USA | Mkt, SMB, HML, WML | M1962:1 - 1993:12 |
| Griffin (2002) | FF3 Extention | World, Domestic or International FF3 | - | Global | Mkt, SMB, HML | M1981:1995:12 |
| Bali et.al. (2004) | FF3 Extention | FF3 with VAR | OLS | USA | Mkt, SMB, HML, VAR | M1963:1 - 2001:12 |
| Chan et.al. (2005) | FF3 Extension | FF3 with IML | GMM | Australia | Mkt, SMB, HML, IML | M1990:1 - 1998:12 |
| Chan et.al. (2007) | FF3 Extension | FF3 with Default factor | GMM | Australia | Mkt, SMB, HML, DEF | M1996 - 2004 |
| He (2008) | FF3 Extention | FF3, FF3 with State Switch | OLS | China | Mkt, SMB, HML, State Switch | M1995:6 - 2005:12 |
| Xiao et.al. (2007) | FF3 Extention | FF3 with Sustainability Factor | GMM | Global | Mkt, SMB, HML, SUS | M1999 - 2007 |
| Fama et.al. (2013) | FF3 Extention | FF4 | - | USA | Mkt, SMB, HML, RMW | M1963:7 - 2012:12 |
| Yang (2013) | FF3 Extention | FF3 with SSAEPD, EGARCH | MLE | USA | Mkt, SMB, HML | M1926 - 2011 |
| Fama et.al. (2015) | FF4 Extention | FF5 | - | USA | Mkt, SMB, HML, RMW, CMA | M1963:7 - 2013:12 |
| Mu (2015) | C Extension | C4 with SSAEPD, EGARCH | MLE | USA | Mkt, SMB, HML, WML | M1927:1 - 2014:12 |
| Panel B: Fama-French 5-Factor Model comparison | ||||||
| Fama et.al. (2014) | Model Comparison | CAPM, FF3, FF4, FF5, FF5 with WML | - | USA | Mkt, SMB, HML, RMW, CMA, WML | M1963:7 - 2014:12 |
| Hou et.al. (2015) | Model Comparison | FF5, C, q-factor | - | USA | Mkt, SMB, HML, RMW, CMA, WML | M1967:1 - 2013:12 |
| Harshita et.al. (2015) | Model Comparison | CAPM, FF3, FF5 | - | India | Mkt, SMB, HML, RMW, CMA | M1999:10 - 2014:9 |
| Chiah et.al. (2015) | Model Comparison | FF3, FF5 | HAC-adjusted OLS | Australia | Mkt, SMB, HML, RMW, CMA | M1982:12 - 2012:12 |