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Multi‐Factor Models of Asset Returns: A Bibliometric Analysis

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  • Davide Sandretto
  • Marina Damilano
  • John W. Goodell
  • Andrea Paltrinieri

Abstract

Risk factors of asset returns have been a central theme in asset pricing research over recent decades. This study aims to evaluate the recent evolution of the literature on multi‐factor models after the publication of the Fama and French five‐factor model. Through a rigorous search protocol, we conduct a bibliometric analysis, examining 845 articles covering the period from April 2015 to June 2023. We contribute by identifying the most influential authors, countries, journals, and affiliations in the recent literature through citation and publication analysis. Furthermore, we map the intellectual structure of this topic by employing co‐word analysis, bibliographic coupling, and content analysis, highlighting four distinct research streams. Finally, we provide future lines of research. These findings are of interest to both academics and professionals, offering an overview of current knowledge and guiding future research and investment strategies.

Suggested Citation

  • Davide Sandretto & Marina Damilano & John W. Goodell & Andrea Paltrinieri, 2026. "Multi‐Factor Models of Asset Returns: A Bibliometric Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 40(2), pages 739-760, April.
    • Handle: RePEc:bla:jecsur:v:40:y:2026:i:2:p:739-760
    DOI: 10.1111/joes.70039
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