Causality in the 5-factor Model of Stock Returns
February 7, 2024 - Investing Expertise, Value Premium
Does the Fama-French 5-factor model of stock returns stand up to causality analyses? Do the factors cause the returns? In their December 2023 paper entitled “Re-Examination of Fama-French Factor Investing with Causal Inference Method”, Lingyi Gu, Ellen Zhang, Andrew Heinz, Jingxuan Liu, Tianyue Yao, Mohamed AlRemeithi and Zelei Luo construct causal graphs to analyze the… Keep Reading