Author (Year)

Research Purpose

Model

Data

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