A five-factor model that adds profitability (RMW) and investment (CMA) factors to the threefactor
model of Fama and French (1993) points to a shared story for several average return anomalies.
Positive exposures to RMW and CMA (returns that behave like those of the stocks of profitable firms that
invest conservatively) capture the high average returns associated with low market β, share repurchases,
and low stock return volatility. Conversely, large share issues, high β, and highly volatile returns are
associated with negative RMW and CMA exposures (like those of relatively unprofitable firms that invest
aggressively) that help explain low average returns.