FamaFrench5FactorModel: Fama-French Five-Factor Model
In EventStudy: Event Study Analysis
FamaFrench5FactorModel R Documentation
Fama-French Five-Factor Model
Description
Implements the Fama and French (2015) five-factor model:
R_i - R_f = \alpha + \beta_m (R_m - R_f) + \beta_s SMB + \beta_h HML + \beta_r RMW + \beta_c CMA + \epsilon
Requires columns: excess_return, market_excess, smb,
hml, rmw, cma.
Super classes
ModelBase -> LinearFactorModel -> FamaFrench5FactorModel
Public fields
model_nameName of the model.
formulaThe five-factor regression formula.
required_columnsRequired data columns.
Methods
Public methods
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Inherited methods
FamaFrench5FactorModel$new()
Create a new FamaFrench5FactorModel.
Usage
FamaFrench5FactorModel$new(use_hac = FALSE, hac_lag = NULL)
Arguments
use_hacLogical. Use HAC (Newey-West) standard errors.
hac_lagInteger or NULL. Lag truncation for Newey-West.
FamaFrench5FactorModel$abnormal_returns()
Calculate abnormal returns using the five-factor model.
Usage
FamaFrench5FactorModel$abnormal_returns(data_tbl)
Arguments
data_tblData frame or tibble.
FamaFrench5FactorModel$clone()
The objects of this class are cloneable with this method.
Usage
FamaFrench5FactorModel$clone(deep = FALSE)
Arguments
deepWhether to make a deep clone.
See Also
Other eventstudy-models:
BHARModel,
Carhart4FactorModel,
ComparisonPeriodMeanAdjustedModel,
DCCGARCHModel,
FamaFrench3FactorModel,
GARCHModel,
LinearFactorModel,
LogReturn,
MarketAdjustedModel,
MarketModel,
ModelBase,
ReturnCalculation,
RollingWindowModel,
SimpleReturn,
VolatilityModel,
VolumeModel
EventStudy documentation built on Oct. 31, 2026, 1:07 a.m.
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| FamaFrench5FactorModel | R Documentation |
Fama-French Five-Factor Model
Description
Implements the Fama and French (2015) five-factor model:
R_i - R_f = \alpha + \beta_m (R_m - R_f) + \beta_s SMB + \beta_h HML + \beta_r RMW + \beta_c CMA + \epsilon
Requires columns: excess_return, market_excess, smb,
hml, rmw, cma.
Super classes
ModelBase -> LinearFactorModel -> FamaFrench5FactorModel
Public fields
model_nameName of the model.
formulaThe five-factor regression formula.
required_columnsRequired data columns.
Methods
Public methods
Inherited methods
FamaFrench5FactorModel$new()
Create a new FamaFrench5FactorModel.
Usage
FamaFrench5FactorModel$new(use_hac = FALSE, hac_lag = NULL)
Arguments
use_hacLogical. Use HAC (Newey-West) standard errors.
hac_lagInteger or NULL. Lag truncation for Newey-West.
FamaFrench5FactorModel$abnormal_returns()
Calculate abnormal returns using the five-factor model.
Usage
FamaFrench5FactorModel$abnormal_returns(data_tbl)
Arguments
data_tblData frame or tibble.
FamaFrench5FactorModel$clone()
The objects of this class are cloneable with this method.
Usage
FamaFrench5FactorModel$clone(deep = FALSE)
Arguments
deepWhether to make a deep clone.
See Also
Other eventstudy-models:
BHARModel,
Carhart4FactorModel,
ComparisonPeriodMeanAdjustedModel,
DCCGARCHModel,
FamaFrench3FactorModel,
GARCHModel,
LinearFactorModel,
LogReturn,
MarketAdjustedModel,
MarketModel,
ModelBase,
ReturnCalculation,
RollingWindowModel,
SimpleReturn,
VolatilityModel,
VolumeModel
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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