%0 Journal Article
%T Analysis of US Sector of Services with a New Fama-French 5-Factor Model
%A Quan Yang
%A Liuling Li
%A Qingyu Zhu
%A Bruce Mizrach
%J Applied Mathematics
%P 1307-1319
%@ 2152-7393
%D 2017
%I Scientific Research Publishing
%R 10.4236/am.2017.89096
%X In this paper, we empirically test a new model with the data of US services sector,
which is an extension of the 5-factor model in Fama and French (2015) [1].
3 types of 5 factors (Global, North American and US) are compared. Empirical
results show the Fama-French 5 factors are still alive! The new model has better
in-sample fit than the 5-factor model in Fama and French (2015).
%K Fama-French 5-Factor Model (FF5)
%K Standardized Standard Asymmetric Exponential Power Distribution (SSAEPD)
%K EGARCH
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=79218