A Five-Factor Asset Pricing Model

• p. 2 Paragraph after eq. (1)

  The predictions drawn from (3), here and below, center on the price, mt

• p. 2 Introduction

  The predictions drawn from (3), here

• p. 2 para after Eq. (1)

  The predictions drawn from (3), here and below, center on the price

Only the authors can say what is right here.

Judge's note: On the p.2 image the sentence sits in the paragraph that discusses Eq. (1). Equations (2) and (3) are introduced later on the page, and (3) is written in M_t/B_t, not m_t. 'Here and below' may be meant as a forward reference, so the authors should say whether (1) was intended.

Second check: another model agreed

• p. 27 References

  Miller, Merton H., and Franco Modigliani, Dividend Policy, Growth, and the Valuation of Shares,

• p. 2 Introduction

  Miller and Modigliani (1961)

Judge's note: On the page 27 image this entry has no year, while every other entry gives one. On p.2 the text cites '(1961)'.

Second check: another model agreed

• p. 6 Section II, para 2

  In every Size row, average return increases with B/M.

• p. 31 Table 1 Panel A, rows 4 and Big

  0.56

Judge's note: Checked against the Table 1 image on p.31. The extreme-column spreads quoted in the text are correct (1.11-0.19 and 0.58-0.42), but the increase is not monotonic in every row.

Second check: another model agreed

• p. 12 Section IV, para 3

  with the 2x2 and 2x3 versions are high, 0.94 and 0.96

• p. 35 Table 4 Panel B, HML

  0.94

Judge's note: Checked Table 4 Panel B on the upright p.35 image: the 2x2x2x2 row of the HML block reads 0.94 (2x3), 0.96 (2x2), 1.00. The parallel order in the text pairs each number with the wrong version.

Second check: another model agreed

• p. 16 Section V

  the four-factor model that excludes HML captures average returns as well as any other four-factor model considered

• p. 36 Table 5 Panel B, 2x3 factors

  1.65

• p. 37 Table 5 Panel D, 2x3 factors

  0.112

Only the authors can say what is right here.

Judge's note: Checked Table 5 on the upright p.36 and p.37 images; the values are as quoted. The 2x2 and 2x2x2x2 results are mixed. The general claim overstates the table.

Second check: another model agreed

• p. 18 Section VI, para 1

  We noted earlier that the five-factor model never improves the description of average returns

• p. 37 Table 5 Panel E, 2x3 factors

  0.093

• p. 17 Section V (what was 'noted earlier')

  it produces much the same GRS statistics and average absolute intercepts as the four-factor model that does not include HML

• p. 36 Table 5 Panels A–B, 2x3 factors

  0.101

Judge's note: Page 17 (text lines 548–549) says only 'much the same'. In Table 5, the five-factor model is marginally better than RMW CMA in some cells. Panel A 2x3: GRS 2.86 vs 2.87 and |a| 0.097 vs 0.101. Panel E 2x3: |a| 0.093 vs 0.098, though GRS is worse, 1.75 vs 1.70. The differences are trivial, so 'never' is an overstatement rather than an error.

Second check: another model agreed

• p. 1 Author footnote

  Dartmouth College. (French).

Judge's note: The crop of the p.1 footnote shows 'Dartmouth College.' followed on the next line by '(French).' The Fama tag has no such period.

Second check: none (judge only)

• p. 2 Text after eq. (1)

  show that that the time t total market value

Judge's note: Visible on the p.2 page image.

Second check: none (judge only)

• p. 2 Definition below Equation (2)

  is total equity earnings for period t+τ

Judge's note: The comma is visible on the page image, so this is not an extraction artefact.

Second check: none (judge only)

• p. 27 References

  Miller, Merton H., and Franco Modigliani, Dividend Policy, Growth, and the Valuation of Shares,

• p. 2 Text

  (1961) show that that the time t total market value

• p. 27 References

  Stephen A Ross

• p. 27 References

  Miller, Merton H., and Franco Modigliani, Dividend Policy

Judge's note: The page 2 image shows 'that that'. The page 27 image shows 'Stephen A Ross' with no period. This cluster also mentions the missing Miller–Modigliani year (judged under C025) and the uncited Fama–French 1992 entry (judged under C024); this verdict covers only the remaining copyedit points.

Second check: none (judge only)

• p. 6 Section II, para 2

  for the microcaps stocks in the first row

Judge's note: Visible on the p.6 image.

Second check: none (judge only)

• p. 9 Section III

  SMBBM

• p. 10 Section III

  SMBB/M

Judge's note: Both page crops show the two forms, so this is not an extraction artefact. It is a cosmetic inconsistency.

Second check: none (judge only)

• p. 15 Section V, para 1

  and (iv) the five-factor model

• p. 15 Section V, first paragraph

  and pairs of HML, RMW, and CMA; and (iv) the five-factor model

• p. 15

  pairs of HML, RMW, and CMA; and (iv) the five-factor model

Judge's note: The page crop shows (iv) where (iii) belongs. The count of seven models is correct.

Second check: none (judge only)

• p. 17 Section V, last paragraph

  higher for the 2x2x4 portfolios than for the 5x5 portfolios

Judge's note: The page image shows '2x2x4'. The same paragraph, and the sentences before and after it, call the 32-portfolio sets '2x4x4 sorts'. The paper defines no 2x2x4 sort.

Second check: none (judge only)

• p. 17 Section V

  the p-values in the tests on the 2x4x4 portfolios are all less than 0.01 or less

• p. 37 Table 5 Panel E, RMW CMA, 2x3 factors

  0.010

• p. 17 Section V, last paragraph

  are all less than 0.01 or less

Judge's note: The image confirms the wording, which merges 'less than 0.01' and '0.01 or less'. In Table 5 Panels D–F the p-values are all ≤ 0.010, and Panel E RMW CMA 2x3 is exactly 0.010, so the intended reading is '0.01 or less'. This is a wording slip only.

Second check: none (judge only)

• p. 20 Section VII.A

  HML, RMW¸ and CMA

Judge's note: The page image shows the cedilla-like glyph after RMW, so this is not just a text-layer artefact. Cosmetic.

Second check: none (judge only)

• p. 24 Section VII.C

  Although the RMW and Inv slopes

• p. 24 Section VII.C

  Although the RMW and Inv slopes (-0.36, t = -5.48, and -0.52

Judge's note: The regression in Table 9 has RMW and CMA slopes, and -0.52/-7.48 is the CMA slope c. Elsewhere the paper names the factor CMA; Inv is the sort variable.

Second check: none (judge only)

• p. 27 References

  Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns

Judge's note: A grep of main.txt finds '1992' only in the reference list (line 850). The text cites the other Fama–French works.

Second check: none (judge only)

• p. 36 Table 5 caption

  (Panel B) 25 Size-Inv portfolios (Panel C)

Judge's note: The upright page 36 image shows no comma there, while the other list items are separated by commas.

Second check: none (judge only)

• p. 43 Table 9 caption

  2x2x2x2sorts

Judge's note: The crop of the Table 9 caption on PDF page 43 shows "2x2x2x2sorts" printed with no space, so this is not an artefact of the text layer. Every other occurrence in the paper reads "2x2x2x2 sorts", including the parallel captions of Tables 7, 8, A2 and A3. This is a cosmetic missing space.

Second check: none (judge only)

• p. 47 Page footer, Table A3

  2

Judge's note: The upright image of page 47 shows the folio "2" at the foot of the page. Page 45 (Table A1) shows "45". The upright image of page 46 (Table A2) shows no visible page number, so the reviewer's statement that Table A2 carries a sequential number is not borne out. Even so, "2" breaks the sequence, as page 47 would be expected. This looks like a cosmetic pagination leftover from a separately numbered appendix file.

Second check: none (judge only)