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This paper aims to investigate the explanatory power of the Fama-French five-factor model and compares it to the other asset pricing models. In addition, the paper examines the contributions of two additional factors: profitability and investment factor. The authors test the alternative four-factor models.

The authors use stock returns data of BSE-500 listed firms for the Indian market, an emerging market, from 1999 to 2020, thus covering the post-Asian crisis and pre- and post-financial crisis (2007–2008) periods. The authors employ 75 and 96 portfolios based on different factors. To check the performance of asset pricing models, the authors also used the GRS F-statistics and factor spanning tests.

The authors find that the five-factor model and alternative four-factor model outperform the three-factor model. Contrary to the findings for the US, but similar to the Chinese stock market, the value factor is significant for the Indian stock market. Simultaneously, the authors also find that the investment factor has no explanatory power in the presence of the profitability factor in their sample.

To the best of the authors' knowledge, this is the most comprehensive study using data more than two decades. These results are based on 75 (25 × 3) portfolios based on size, value, profitability and investment. The authors also tested these results based on 96 (32 × 3) portfolios to check robustness, and these results still hold. Furthermore, the authors find that factors based on 2 × 3 sorting have higher explanatory power than those based on 2 × 2 and 2 × 2 × 2 × 2 sorting.

We examine explicitly priced financial distress risk in post-1990 equity markets. We add a financial distress risk factor to Fama and French's (1993) three-factor model, based on Griffin and Lemmon's (2002) findings that financial distress is not fully captured by the book-to-market factor. We test three-factor and four-factor capital asset pricing models using both annual buy-and-hold analysis and monthly time series analysis across portfolios adjusted for common book-to-market, size, and financial distress factors. We find empirical support for an Ohlson (1980) O-score-based financial distress risk four-factor asset pricing model in the U.S. and Japanese markets.

While there is an extensive body of theory and research on leadership, less attention has been paid to other work roles, including follower roles. The purpose of this paper is to explain and justify a three factor model of followership as a basis for exploring the role of followers, establishing what makes an effective follower and discussing the training and development of followers. This is the first part of a three part paper. It reviews previous theory and research on followership, before describing the three factor model of leadership and considering how it can be applied to followership.

The first part of this paper consists mainly of a literature review on followership, and a description of the three factor model of leadership. The second and third parts of the paper outline the approach to the empirical research.

The overall findings of this three part paper: provide empirical evidence to support the three factor model of leadership; justify the extension of the model to other work roles, including follower roles; allow the development of a three factor framework of follower behaviours.

The three factor model of followership shows that followership and leadership are not fundamentally different. Indeed, the skills that leaders need in their roles develop out of and build on those needed in follower roles. The essential difference is in the contrasting roles of leader and follower in which they are used. The research findings are based mainly on individuals in the public sector in the UK. Further research on other populations would be useful.

Effective organisations need effective followers and effective leaders. Moreover, the skills of the effective leader develop out of and build on those of the effective follower.

The view of followership expressed in this paper is a challenge to the widely held pre-occupation with leadership and, more generally, to the cult of leadership.

This is the first published attempt to apply the three factor model of leadership to followership. Evidence is presented on the internal reliability and external validity of measures of leadership and followership. Scales were developed to distinguish between leader and follower roles and used to describe behaviours characteristic of such roles, as well as behaviours valued in these roles, based on 360 degree assessments.

The purpose of this three-part paper is to point out that while there is an extensive body of theory and research on leadership, less attention has been given to other roles, particularly follower roles. The authors outlined a three factor model of leadership and suggested it could be applied to followership. In the second part of the paper, the authors present empirical evidence on the three factor model of leadership and its application to the full range of team roles, including follower, co-worker and leader roles. In the third part of the paper the authors present and discuss further evidence specifically on follower behaviour.

In this part of the paper, the authors present evidence on the internal reliability and external validity of three self-assessment instruments, two on leadership behaviour and one on team role behaviours. Evidence is provided from a diverse group of managers, mainly in the UK public sector. Individuals completed a variety of self-assessment instruments and, in some cases, had 360 degree assessments completed on them, and provided evidence on contextual variables. The methodology involves looking at the degree of correlation, and its statistical significance, between variables.

The three self-assessment instruments, two on leadership and one on team roles, were found to possess satisfactory levels of both internal reliability and external validity, consistent with the three factor model. These findings lent support to the three factor model of leadership, to its extension and application to followership, and to the reliability and validity of the three self-assessment instruments.

Effective organisations need effective followers and effective leaders. Moreover, the skills of the effective leader develop out of and build on those of the effective follower. The research was based mainly on individuals in the public sector in the UK. It would be useful to extend such research to other contexts.

Given that the skills of the effective leader develop out of and build on those of the effective follower, the training of effective followers is seen to underpin that of effective leaders.

The finding that the skills of the effective leader develop out of build on those of the effective follower challenges the widely held pre-occupation with leadership, the idea that leadership is qualitatively different from and superior to followership. Thus it challenges the cult of leadership.

This paper is the first published attempt to successfully apply the three factor model of leadership to team roles in general, including follower, co-worker and leader roles. In the third part of this paper, the three factor model is applied specifically to follower roles. Ways of measuring leader and follower roles are developed and used to identify follower behaviours, as well as to make possible the identification of behaviours valued when used by followers, based on 360 degree assessments.

This paper aims to investigate whether the use of conditional and unconditional Fama and French (1993) three-factor and Carhart (1997) four-factor asset pricing models (APMs) captures the role of asset pricing anomalies in the context of emerging stock market like India.

The first step time series regression approach has been used to drive the risk-adjusted returns of individual securities. For examining the predictability of firm characteristics or asset pricing anomalies on the risk-adjusted returns of individual securities, the panel data estimation technique has been used.

Fama and French (1993) three-factor and Carhart (1997) four-factor model in their unconditional specifications capture the impact of book-to-market price and liquidity effects completely. When alternative APMs in their conditional specifications are tested, the importance of medium- and long-term momentum effects has been captured to a greater extent. The size, market leverage and short-term momentum effects still persist even in the case of alternative unconditional and conditional APMs.

The empirical analysis does not extend for different market scenarios like high and low volatile market or good and bad macroeconomic environment. Because of the constraint of data availability, the authors could not include certain important anomalies like net operating assets, change in gross profit margin, external equity and debt financing and idiosyncratic risk.

Although the active investment approach in stock market shares a common ground of semi-strong form of market efficiency hypothesis which also supports the presence of asset pricing anomalies, less empirical evidence has been explored in this regard to support or repute such belief of practitioners. Our empirical findings make an attempt in this regard to suggest certain anomaly-based trading strategy that can be followed for active portfolio management.

From an emerging market perspective, this paper provides out-of-sample empirical evidence toward the use of conditional Fama and French three-factor and Carhart four-factor APMs for the complete explanation of market anomalies. This approach retains its importance with respect to the comprehensiveness of analysis considering alternative APMs for capturing unique effects of market anomalies.

This study aims to compare the risk‐return characteristics and performance of real estate investment trust (REIT) hotel companies (hotel REITs hereafter) with those of C‐corporation hotel companies (hotel C‐corps hereafter).

The risk‐return characteristics and performance of hotel REITs and C‐corps were examined by estimating single‐factor and Fama‐French three‐factor asset pricing models for each portfolio. Differences between the hotel REIT and C‐corp estimations were tested using Wald test statistics.

Little evidence was found that hotel REITs have significantly different risk‐return characteristics and performance than hotel C‐corps, which suggests that hotel REITs and C‐corps are not significantly different in terms of market risk‐return characteristics and performance. The market portfolio had a significantly positive effect on the returns of both hotel REITs and C‐corps. The size and book‐to‐market factors of common stock also had a significant explanatory power for the returns of hotel REITs and C‐corps. Both hotel REITs and C‐corps performed similarly to the market portfolio, on a risk‐adjusted basis, during the 2000s.

Despite the fact that the three‐factor asset pricing model explains a significantly greater proportion of the variation in the hotel firms' returns than the single‐factor asset pricing model, approximately 30 percent of the total variation still remains unexplained.

The risk‐return characteristics and performance of hotel REITs and C‐corps revealed by this study will render hotel investors' decisions between the two organizational structures less complicated. In addition, the findings can be used by portfolio managers to construct a well‐diversified portfolio.

A multifactor asset pricing model was used for the first time in this article to examine the risk‐return characteristics and performance of hotel companies. In addition, the importance of understanding differences between REIT and C‐corp structures in the lodging industry is emphasized.

This paper explores the relationship between size, book-to-market, beta, and expected stock returns in the U.S. Information Technology sector over the July 1990–June 2001 period. Two models, the multivariate model and the three-factor model, are employed to test these relationships. The risk-return tests confirm the relationship between size, book-to-market, beta and stock returns in IT stocks is different from that in other non-financial stocks. However, the sub-period results (the periods before and after the technology crash in April 2000) show that the nature of the relationship between stock returns, size, book-to-market, and market factors, or the magnitude of the size, book-to-market, and market premiums, is on average unchanged for both sub-periods. This result suggests the technology stock crash in April 2000 was not a correction of stock prices.

Asset pricing revolves around the core aspects of risk and expected return. The main objective of the study is to test different asset pricing models for the Indian securities market. This paper aims to analyse whether leverage and liquidity augmented five-factor model performs better than Capital Asset Pricing Model (CAPM), Fama and French three-factor model, leverage augmented four-factor model and liquidity augmented four-factor model.

The data for the current study comprises records on prices of securities that are part of the Nifty 500 index for a time frame of 14 years, that is, from October 2004 to September 2017 consisting of 183 companies using time series regression.

The results indicate that the five-factor model performs better than CAPM and the three-factor model. The model outperforms leverage augmented and liquidity augmented four-factor models. The empirical evidence shows that the five-factor model has the highest explanatory power among the entire asset pricing models considered.

The present study bears certain useful implications for various stakeholders including fund managers, investors and academicians.

This study presents a five-factor model containing two additional factors, that is, leverage and liquidity risk along with the Fama-French three-factor model. These factors are expected to give more value to the model in comparison to the Fama-French three-factor model.

This study aims to understand and document the impact of market-based – market returns and momentum – as well as firm-specific – size, book-to-market (B/M) ratio, price-to-earnings ratio (PER) and cash flow (CF) – factors on pricing of Shari’ah-compliant securities as explanation of variations in stock returns in an emerging market – Pakistan’s Karachi Stock Exchange.

Initially, the authors test Fama and French (FF) three-factor model – market risk premium, size and B/M – followed by modified FF model by including additional risk factors (PER, CF and momentum) over a 10-year period (2001-2010).

Our results support superiority of FF three-factor model over single-factor capital asset pricing model. However, addition of further risk factors – including PER, CF and momentum – improves explanatory power of the model, as well as refines the selection of risk factors. In this study, CF, B/M and momentum factors remain insignificant. Traditional B/M factor in FF model is replaced by PER.

Based on the modified FF model, the authors propose a stock valuation model for Shari’ah-compliant securities consisting of three factors: market returns, size and earnings, which explains 76per cent variations in cross sectional stock returns.

To the best of the authors’ knowledge, this is the first study (which combines market-based as well as fundamental factors) on pricing of Islamic securities and identification of risk factors in an emerging market – Karachi Stock Exchange.

The purpose of this paper is to compare the performance of various multifactor asset pricing models across ten emerging and developed markets.

The general methodology to test asset pricing models involves regressing test asset returns (left-hand side assets) on pricing factors (right-hand side assets). Then the performance of different models is evaluated based on how well they price multiple test assets together. The parameters used to compare relative performance of different models are their pricing errors (GRS statistic and average absolute intercepts) and explained variation (average adjusted R²).

The Fama-French five-factor model improves the pricing performance for stocks in Australia, Canada, China and the USA. The pricing in these countries appears to be more integrated. However, the superior performance in these four countries is not consistent across a variety of test assets and the magnitude of reduction in pricing errors vis-à-vis three- or four-factor models is often economically insignificant. For other markets, the parsimonious three-factor model or its four-factor variants appear to be more suitable.

Unlike most asset pricing studies that use test assets based on variables that are already used to construct RHS factors, this study uses test assets that are generally different from RHS sorts. This makes the tests more robust and less biased to be in favour of any multifactor model. Also, most international studies of asset pricing tests use data for different markets and combine them into regions. This study provides the evidence from ten countries separately because prior research has shown that locally constructed factors are more suitable to explain asset prices. Further, this study also tests for the usefulness of adding a quality factor in the existing asset pricing models.