Author (Year) | Research Purpose | Model | Data | ||
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| Country | Factors | Frequency & Period |
| Panel A: Development of Factor Model | ||||
Fama et al. (1993) [16] | CAPM Extension | FF3 | USA | Mkt, SMB, HML, WML | M1963:7-1991:12 |
Carhart (1997) | FF3 Extension | CAPM, FF3, C | USA | Mkt, SMB, HML, WML | M1962:1-1993:12 |
Griffin (2002) [17] | FF3 Extension | Domestic or International FF3 | Global | Mkt, SMB, HML | M1981:1995:12 |
Chan et al. (2005) [18] | FF3 Extension | FF3 with IML | Australia | Mkt, SMB, HML, IML | M1990:1-1998:12 |
Fama et al. (2012) [19] | Model Comparison | Global or Local CAPM, FF3, C | Global | Mkt, SMB, HML, WML | M1990:11-2011:3 |
Connor et al. (2012) | C Extension | C with VOL | USA | Mkt, SMB, HML, WML, VOL | M1970-2007 |
Chai et al. (2013) [20] | C Extension | C with IML | Australia | Mkt, SMB, HML, WML, IML | M1982:1-2010:12 |
Fama et al. (2013) [21] | FF3 Extension | FF4 | USA | Mkt, SMB, HML, RMW | M1963:7-2012:12 |
Yang (2013) | FF3 Extension | FF3 with SSAEPD, EGARCH | USA | Mkt, SMB, HML | M1926-2011 |
Hou et al. (2014) | Model Comparison | FF5, C, q-factor | USA | Mkt, SMB, RMW, CMA, WML, HML | M1972:1-2011:12 |
Fama et al. (2015a) | FF4 Extension | FF5 | USA | Mkt, SMB, HML, RMW, CMA | M1963:7-2013:12 |
Zhu (2016) | FF5 Extension | FF5 with SSAEPD, EGARCH | USA | Mkt, SMB, HML, RMW, CMA | M1963:7-2013:12 |
| Panel B: Researches for Fama-French 5-Factor Model | ||||
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 |
Fama et al. (2015b) | Empirical Tests | FF5 | Global | Mkt, SMB, HML, RMW, CMA | M1990:7-2014:9 |
Chiah et al. (2016) | Empirical Tests | FF3, C, FF5 | Australia | Mkt, SMB, HML, PMU, LMH | M:1982:1-2013:12 |
Bin Guo et al. (2017) | Empirical Tests | FF5 | China | Mkt, SMB, HML, RMW, CMA,CMAB | M:1995:7-2014:6 |
Rehab et al. (2016) | Empirical Tests | FF5 | Egypt | MKT, SMB, HML, HEMLE, HSMLS, HDMLD, IML and WML | M:2005:7-2013:7 |
Fama et al. (2016) | Empirical Tests | FF5 | Global | Mkt, SMB, HML, RMW, CMA | M:1990:7-2015:12 |