Author(s)

Jingwen Ren

Corresponding Author

Jingwen Ren

ABSTRACT

In this article, I explain several models explaining stock return: capital asset pricing model, three-factor Fama-French model, Carhart four-factor model, and five-factor Fama-French model. About these models, their research methods, statistical analysis, and scientific significance are comprehensively analyzed. According to the development history, the similarities and differences among models are compared. Also, the advantages and disadvantages are evaluated. With the development, models become more accurate in evaluating the stock return. However, each of the models still has its drawbacks, and the regional restriction is one of the most significant problems.

KEYWORDS

Three-factor Fama-French model, Carhart four-factor model, five-factor Fama-French model, CAPM