Hi Q-Groupers,

We are delighted to have Daniel Chai and Mardy Chiah to present to us on Monday 11th September, 2017. They will present on the topic A better model? An empirical investigation of the Fama-French five-factor model in Australia.

As always, entry is free for Q Group members - but please book early as numbers are limited. Details are below.

Note - this is a brown bag lunch, i.e. BYO food.

Presenters:
Daniel Chai, Senior Lecturer in Finance, Monash University. Mardy Chiah, Lecturer at Swinburne University of Technology.

Topic Details:
Recently, Fama and French (2015a) propose a five-factor model by adding profitability and investment factors to their three-factor model. This model outperforms the three-factor model previously proposed by Fama and French (1993). Using an extensive sample over the 1982 to 2013 period, we investigate the performance of the five-factor model in pricing Australian equities. We find that the five-factor model is able to explain more asset pricing anomalies than a range of competing asset pricing models, which supports the superiority of the five-factor model. We also find that despite the results documented by Fama and French (2015a), the book-to-market factor retains its explanatory power in the presence of the investment and profitability factors. Our results are robust to alternative factor definitions and the formation of test assets. The study provides a strong out-of-sample test of the model, adding to the comparative evidence across international equity markets.

RSVP: andrew.gruskin@omegagi.com

About the presenters:

Daniel Chai:
Daniel is a senior lecturer at Monash University. His research interested is in empirical asset pricing and behavioural finance. He has published a number of papers with Australian data, focusing on investment strategies and asset pricing.

Mardy Chiah:
Mardy is currently a lecturer at Swinburne University of Technology. He is completing his PhD at Monash. His thesis examines how migration across firm characteristics affect asset prices.

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