Gharghori, Philip; Chan, Howard; Faff, Robert - In: Australian Journal of Management 32 (2007) 2, pp. 223-249
In this paper we investigate the contention that the Fama-French (1993) model's ability to explain cross-sectional variation in equity returns occurs because the Fama-French factors, SMB and HML, are proxying for default risk. To assess the default risk hypothesis, we augment the CAPM and the...