Author(s)

Quan Yang¹, Liuling Li², Qingyu Zhu³, Bruce Mizrach⁴

¹College of Tourism and Service Management, Nankai University, Tianjing, China.
²Economics School, Nankai University, Tianjing, China.
³Department of Computer Science, The University of Hong Kong, Hong Kong, China.
⁴Economics Department, Rutgers University, New Brunswick, NJ, USA.

In this paper, we empirically test a new model with the data of US services sector, which is an extension of the 5-factor model in Fama and French (2015) [1]. 3 types of 5 factors (Global, North American and US) are compared. Empirical results show the Fama-French 5 factors are still alive! The new model has better in-sample fit than the 5-factor model in Fama and French (2015).

Fama-French 5-Factor Model (FF5), Standardized Standard Asymmetric Exponential Power Distribution (SSAEPD), EGARCH

Yang, Q. , Li, L. , Zhu, Q. and Mizrach, B. (2017) Analysis of US Sector of Services with a New Fama-French 5-Factor Model. Applied Mathematics, 8, 1307-1319. doi: 10.4236/am.2017.89096.