Fama-French 5-factor Model and Global Stocks

Does the Fama-French  5-factor model (market, size, book-to-market, profitability, investment) of stock returns work for stocks worldwide? In their May 2021 paper entitled “Size, Value, Profitability, and Investment Effects in International Stock Returns: Are They Really There?”, Nusret Cakici and Adam Zaremba test the performance of the 5-factor model in global developed markets. They consider big and small stocks separately. They consider four regions (North America, Europe, Japan and Asia-Pacific), as well as the global market. They lag all accounting data by six months and calculate returns in U.S. dollars. Using data in U.S. dollars for 65,000 stocks from 23 countries during December 1987 through March 2019 (with tests starting July 1990), they find that:

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