Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 24, 2022 erstellt
Beschreibung:
This paper is based on the mathematical logic that asset returns being ratios of two consecutive prices are rational functions that cannot be averaged directly in a portfolio to match the average market returns. In this context, we study the Fama-French portfolios for the US markets and report that the risk factors cannot definitively identify assets with higher average returns though they may help in identifying those with lower average risk. Further, using both Fama-French portfolios and Dow-Jones-Industrial-Average stocks, we empirically demonstrate the higher forecasting ability of the Rational Function Model over that of the Fama-French-Five-Factor Model