Citation:

Valentina Siyami Anggi Lestari, Nurmala Ahmar. "Evolution of the Fama and French Model in Measuring Market Risk: "From Three to Six"" International Research Journal of Economics and Management Studies, Vol. 3, No. 7, pp. 321-329, 2024.

Abstract:

This research aims to examine the evolution of Fama and French's three- to six-factor models and analyze the most significant factors influencing stock Excess Returns. Through a Systematic Literature Review (SLR), it was found that among the six factors analyzed, the Market Risk Premium (MRP) factor and the Up Minus Down (UMD) factor had the most significant influence. In contrast, the Conservative Minus Aggressive (CMA) factor had the least impact. This research includes studies from various countries with the largest contributions from China, Indonesia, and the United States. Bibliographic analysis shows common topics such as the five-factor model, asset price anomalies, and portfolio investment. This research proves that Fama and French's contributions are global, with many articles indexed in international and national journals.

References:

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Keywords:

Fama and French Models, Market Risk, Measurement, Systematic Literature Review.