Author(s)

Rong Qi

Corresponding Author

Rong Qi

Abstract

Fama-French (FF) models are of great importance in capturing patterns in average stock returns and asset pricing. The aim of this paper is to provide a comprehensive overview of the FF models, including their factors, construction, estimation methods and their efficiency in markets of different regions. We elaborate the factors added to this model from three-factor model to six-factor model and the underlying theories, followed by an outline of the construction of each individual factor. Besides, we also group state-of-the-art researches to make comparisons between different model estimation methods. Furthermore, the performance of FF multifactor models is also distinguished in different local markets. Finally, we outline some issues remaining in the models, which are expected to be solved in the future.

Keywords

Asset pricing, Fama-french models