Expanding the Fama–French Factor Model with the Industry Beta
The news-based stock pricing model (NBSPM) performs better than the five-factor Fama-French model (FF5M) for US equity sector ETFs, but adding industry beta to FF5M improves its accuracy, though not as much as NBSPM.
Featured in No. 10 on 2 Aug 2023 · 1 day after release · 0 citations today
- Released
- 1 Aug 2023
- First featured
- No. 10 · 2 Aug 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 10
- Identifier
- SSRN 4528675
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).