Search Results - subject:"FRENCH FACTORS"

How Domestic is the Fama and French Three-Factor Model? An Application to the Euro Area

Moerman, Moerman, G.A. - Erasmus Research Institute of Management (ERIM), … - 2005

threefactor model. Griffin (2002) shows that the Fama and French factors are country specific for the U.S., the U.K, Canada, and …

Persistent link: https://www.econbiz.de/10010731136

How Domestic is the Fama and French Three-Factor Model? An Application to the Euro Area

Moerman, G.A. - Erasmus Research Institute of Management (ERIM), ERIM … - 2005

threefactor model. Griffin (2002) shows that the Fama and French factors are country specific for the U.S., the U.K, Canada, and … asset pricing model: the Fama and French three- factor model. Griffin (2002) shows that the Fama and French factors are …-specific model relative to the euro area three-factor model. Free Keywords Asset pricing, Fama-French factors, industry factor model …

Persistent link: https://www.econbiz.de/10005450933

Asset pricing and the illiquidity premium

Chan, Howard Wei-hong; Faff, Robert W. - In: The financial review : the official publication of the … 40 (2005) 4, pp. 429-458

Persistent link: https://www.econbiz.de/10003211775

Are the Fama–French factors good proxies for latent risk factors? Evidence from the data of SHSE in China

Lin, Jianhao; Wang, Meijin; Cai, Lingfeng - In: Economics Letters 116 (2012) 2, pp. 265-268

factors and the latent risk factors in China’s stock market. The results show that the Fama–French factors are good proxies …This paper applies the new procedure developed by Bai and Ng (2006a) to explore the relation between the Fama–French …

Persistent link: https://www.econbiz.de/10010597183

Size and value effects in the Visegrad countries

Borys, Magdalena Morgese; Zemčik, Petr - In: Emerging markets finance & trade : a journal of the … 47 (2011) 3, pp. 50-68

Persistent link: https://www.econbiz.de/10009313729

Size and Value Effects in the Visegrad Countries

Borys, Magdalena Morgese; ZemÄÂik, Petr - In: Emerging Markets Finance and Trade 47 (2011) 3, pp. 50-68

This paper has two main objectives. The first is to test for the presence of size and book-to-market value effects in the Visegrad countries (the Czech Republic, Hungary, Poland, and Slovakia). Such effects have been found in the U.S. stock market and in many other developed stock markets. The...

Persistent link: https://www.econbiz.de/10009353247

An investigation into the role of liquidity in asset pricing : Australian evidence

Chan, Howard Wei-hong; Faff, Robert W. - In: Pacific-Basin finance journal 11 (2003) 5, pp. 555-572

Persistent link: https://www.econbiz.de/10001806901

How to Construct Fundamental Risk Factors?

Lambert, Marie; Hübner, George - Luxembourg School of Finance, Faculté de droit, … - 2010

Our paper reexamines the methodology of Fama and French (1993) for creating US empirical risk factors, and proposes an extension on the way to compute the mimicking portfolios. Our objective is to develop a modified Fama and French (F&F) methodology that could be easily implemented on other...

Persistent link: https://www.econbiz.de/10008520554

An Examination of the Fama and French Three-Factor Model Using Commercially Available Factors

Faff, Robert - In: Australian Journal of Management 26 (2001) 1, pp. 1-17

In this paper we show that reasonable proxies for the FF factors can be readily constructed from â€˜off the shelfâ€™ style index data. We employ a GMM testing procedure in which the main focus of the tests is to assess the overriding validity of the restrictions placed on the empirical...

Persistent link: https://www.econbiz.de/10011135757