Background: Fama and French propose a five-factor model that contains the market factor and factors related to size, book-to-market equity ratio, profitability, and investment, which outperforms the Fama-French Three-Factor Model in their paper in 2014. This study investigates the performance of...

The empirical validation of the CAPM raises two major issues: the coefficients of the model seem to evidence dynamic change through time and the difficulty to properly approximate the market portfolio. Conditional versions of the CAPM that propose to take various variables including human...