The Fama-French five-factor model and emerging market equity returns

We test the Fama-French five-factor asset-pricing model on average stock returns for selected emerging and developed equity markets. We deploy the generalized method of moments (GMM) regression on 313 weekly data observations for the period, January 2010 through December 2015. We find that the profitability factor is the most useful for explaining the cross-section of emerging markets equity returns. The five-factor model performs dismally on country-specific portfolios and on geographically diversified portfolios using the Gibbons-Ross-Shanken (GRS) tests. Our results are broadly consistent with those of studies that use Australian, Chinese and South African data but contrary to studies examining American and Japanese data. (C) 2020 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.