While Fama and French limited their model to three factors (beta, size and value), asset pricing models since 1998 typically have included momentum as a fourth factor. In the last few years, we have seen profitability (or quality or investment) added as a fifth factor.

Recently, the size premium has been called into question, because during the last 30 years (1984-2013), the annual size premium has been just 0.9 percent. In the 57 years prior to that (1927-1983), it had been 4.2 percent.

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