Robust Regression Approaches for the FamaFrench 5-Factor Model: A Real Data Study
- Title
- Robust Regression Approaches for the FamaFrench 5-Factor Model: A Real Data Study
- Creator
- Mayuri, A.; Joshi, Hemlata
- Description
- The FamaFrench five-factor model (FF-5) is one of the advancements of capital asset pricing models (CAPM). Along with other FF-Models, it aims to understand companies and portfolios over a period, Analyzing better return capacity over the five factors such as SMBBusiness Size, HML-Spread between high and low book to market ratio, RMW- Robustness in operating profitability and CMA-investment style to be conservative or aggressive. FF-5-factor regression model widely uses Ordinary Least Squares estimator to estimate the parameter. However, due to the volatility of the markets over the years and not-normal periods, OLS estimators face setbacks due to the assumption violations that are a pre-requisite. This article presents an effort made to improve the performance of the FF-5-factor model using the Robust Dawoud-Kibria estimator. The performance of the FF-5-factor model is compared with other robust estimators such as M, MM, and MMS with MSE criteria. The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2025.
- Source
- Lecture Notes in Networks and Systems;Volume;1355 LNNS;pp.281-289
- Date
- 01-01-2025
- Publisher
- Springer Science and Business Media Deutschland GmbH
- Subject
- CAPM; FamaFrench (3,5) factor models; Outliers; Robust Dawoud-Kibria estimator; Robust regression
- Coverage
- Mayuri A., Department of Statistics and Data Science, CHRIST (Deemed to Be University), Bengaluru, India; Joshi H., Department of Statistics and Data Science, CHRIST (Deemed to Be University), Bengaluru, India
- Rights
- Restricted Access; Hardcopy may be available in the library
- Relation
- ISSN: 23673370; ISBN: 978-981964882-5;
- Format
- online
- Language
- English
- Type
- Conference paper
Collection
Citation
Mayuri, A.; Joshi, Hemlata, “Robust Regression Approaches for the FamaFrench 5-Factor Model: A Real Data Study,” CHRIST (Deemed To Be University) Institutional Repository, accessed June 19, 2026, https://archives.christuniversity.in/items/show/25549.