Recent empirical evidence from different markets suggests that the security market line is flatter than posited by CAPM. This flatness implies that a portfolio long in low-beta assets and short in high-beta assets would earn positive returns. Frazzini and Pedersen (2014) conceptualize a BAB...

The Fama and French (2015) five-factor model that captures the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model that only targets size and value. Our sample shows a negative value effect. As a result, the five-factor...