Concepedia

Factor Pricing Models

Factor Pricing Models is a theoretical framework in investment theory that explains the determination of asset returns by identifying and quantifying the systematic risk factors that influence expected returns across financial assets.

1.1K

Publications

110.5K

Citations

1.6K

Authors

820

Institutions

Publications per year

2017–2026

287

Parents

Publications

1.1K

A five-factor asset pricing model

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 2014 · 7.8K citations

, , +12

Multifactor Explanations of Asset Pricing Anomalies

Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1996 · 6.5K citations · Full text

, , +16

Editor's Choice Digesting Anomalies: An Investment Approach

Kewei Hou, Xue Chen, Lu Zhang · RePEc: Research Papers in Economics · 2.6K citations

, , +17

Presidential Address: Discount Rates

John H. Cochrane · The Journal of Finance · 2011 · 2.3K citations

, , +16

Value and Momentum Everywhere

Clifford S. Asness, Tobias J. Moskowitz, Lasse Heje Pedersen · The Journal of Finance · 2013 · 2.2K citations · Full text

, , +17

1–5 of 1.1K

Authors

1.6K

  1. RW
    Robert W. Faff

    The University of Queensland, Australia

    16 publications · 768 citations

    14

    h-index

  2. DB
    David Blitz

    Erasmus University Rotterdam, Netherlands

    15 publications · 447 citations

    12

    h-index

  3. JH
    John H. Cochrane

    University of Chicago, United States

    11 publications · 6.9K citations

    11

    h-index

  4. CR
    Campbell R. Harvey

    Duke University, United States

    10 publications · 4.2K citations

    10

    h-index

  5. WE
    Wayne E. Ferson

    National Bureau of Economic Research, United States

    10 publications · 2.9K citations

    10

    h-index

1–5 of 1.6K

Institutions

820

  1. National Bureau of Economic Research

    Cambridge, United States

    56 h-index

    167 publications

    20.2K citations

  2. University of Chicago

    Chicago, United States

    27 h-index

    49 publications

    30.3K citations

  3. Centre for Economic Policy Research

    London, United Kingdom

    22 h-index

    36 publications

    2.6K citations

  4. University of Pennsylvania

    Philadelphia, United States

    21 h-index

    32 publications

    7.2K citations

  5. Duke University

    Durham, United States

    21 h-index

    35 publications

    11.5K citations

  6. Cornell University

    Ithaca, United States

    21 h-index

    40 publications

    4.2K citations

  7. Yale University

    New Haven, United States

    21 h-index

    37 publications

    5K citations

  8. University of California, Los Angeles

    Los Angeles, United States

    19 h-index

    36 publications

    5.1K citations

1–8 of 820

Venues

  1. The Journal of Finance

    108 publications · 34.1K citations

    74

    h-index

  2. SSRN Electronic Journal

    Repository · 272 publications · 12.4K citations

    54

    h-index

  3. Review of Financial Studies

    33 publications · 10K citations

    30

    h-index

  4. Journal of Financial and Quantitative Analysis

    JFQA · 38 publications · 3.4K citations

    27

    h-index

  5. Journal of Financial Economics

    19 publications · 12.4K citations

    18

    h-index

1–5