Files and links (2)
PDFOpen Access (License Unspecified), Open Access
Dissertation
A practical implementation of the Fama French Five-Factor model investment strategy using a 5-year amortization of research & development costs to adjust book value and operating profitability variables
Doctor of Business Administration (D.B.A.), Drexel University
05 May 2025
DOI:
https://doi.org/10.17918/00010957
Abstract
This paper explores the idea of implementing an investment strategy based on the Fama French Five Factor model of 2015 with adjustments made to their Value and Operating Profitability breakpoints. This research attempts to bridge the gap between academia and active portfolio management and provides detailed instructions for quantitative investment professionals. We found that adjusting company's research and development costs (R&D) to be considered an intangible asset using the 5-year amortization schedule outlined in the 2017 Tax Cuts and Jobs Act caused stocks to move across the traditionally assigned Fama French book-to-market and profitability portfolios, caused firms with larger R&D costs to be categorized as Value stocks, increased the High OP quintile average excess returns, and increased the overall Operating Profitability premium.
Metrics
35 File views/ downloads
73 Record Views
Details
- Title
- A practical implementation of the Fama French Five-Factor model investment strategy using a 5-year amortization of research & development costs to adjust book value and operating profitability variables
- Creators
- Joel Todd
- Contributors
- Gregory Nini (Advisor)
- Awarding Institution
- Drexel University
- Degree Awarded
- Doctor of Business Administration (D.B.A.)
- Publisher
- Drexel University; Philadelphia, Pennsylvania
- Number of pages
- 102 pages
- Resource Type
- Dissertation
- Language
- English
- Academic Unit
- Bennett S. LeBow College of Business; Drexel University
- Other Identifier
- 991022055340304721