Fama and French risk factors constructed from Russell/Nomura style indexes: evidence from Japanese monthly and daily data sets
This paper uses risk factors constructed from Russell/Nomura style indexes as proxies in an attempt to make the Fama and French three-factor asset pricing model more appealing. The performance of these benchmark factors is evaluated through a direct and simple generalized method of moments test usi...
| Main Author: | |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2009
|
| Subjects: | |
| Online Access: | http://eprints.um.edu.my/11102/1/Fama_and_French_Risk_Factors.pdf |
| _version_ | 1796946179951427584 |
|---|---|
| author | Lau, W.Y. |
| author_facet | Lau, W.Y. |
| author_sort | Lau, W.Y. |
| collection | UM |
| description | This paper uses risk factors constructed from Russell/Nomura style indexes as proxies in an attempt to make the Fama and French three-factor asset pricing model more appealing. The
performance of these benchmark factors is evaluated through a direct and simple generalized method of moments test using both daily and monthly data sets of the 33 Japanese industry
indexes. Our constructed Fama and French three risk factors can explain returns on most of the 33 industry indexes of all common stocks listed on Tokyo Stock Exchange First Section, JASDAQ, Hercules, and other exchanges. Moreover, the three factors risk premia finding confirms the conclusion concerning the nature of the reversal of the size effect. |
| first_indexed | 2024-03-06T05:27:46Z |
| format | Conference or Workshop Item |
| id | um.eprints-11102 |
| institution | Universiti Malaya |
| language | English |
| last_indexed | 2024-03-06T05:27:46Z |
| publishDate | 2009 |
| record_format | dspace |
| spelling | um.eprints-111022014-12-17T02:33:30Z http://eprints.um.edu.my/11102/ Fama and French risk factors constructed from Russell/Nomura style indexes: evidence from Japanese monthly and daily data sets Lau, W.Y. AC Collections. Series. Collected works This paper uses risk factors constructed from Russell/Nomura style indexes as proxies in an attempt to make the Fama and French three-factor asset pricing model more appealing. The performance of these benchmark factors is evaluated through a direct and simple generalized method of moments test using both daily and monthly data sets of the 33 Japanese industry indexes. Our constructed Fama and French three risk factors can explain returns on most of the 33 industry indexes of all common stocks listed on Tokyo Stock Exchange First Section, JASDAQ, Hercules, and other exchanges. Moreover, the three factors risk premia finding confirms the conclusion concerning the nature of the reversal of the size effect. 2009-07 Conference or Workshop Item NonPeerReviewed application/pdf en http://eprints.um.edu.my/11102/1/Fama_and_French_Risk_Factors.pdf Lau, W.Y. (2009) Fama and French risk factors constructed from Russell/Nomura style indexes: evidence from Japanese monthly and daily data sets. In: 17th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management, 01-02 July 2009, Bangkok, Thailand. (Submitted) |
| spellingShingle | AC Collections. Series. Collected works Lau, W.Y. Fama and French risk factors constructed from Russell/Nomura style indexes: evidence from Japanese monthly and daily data sets |
| title | Fama and French risk factors constructed from Russell/Nomura style indexes: evidence from Japanese monthly and daily data sets |
| title_full | Fama and French risk factors constructed from Russell/Nomura style indexes: evidence from Japanese monthly and daily data sets |
| title_fullStr | Fama and French risk factors constructed from Russell/Nomura style indexes: evidence from Japanese monthly and daily data sets |
| title_full_unstemmed | Fama and French risk factors constructed from Russell/Nomura style indexes: evidence from Japanese monthly and daily data sets |
| title_short | Fama and French risk factors constructed from Russell/Nomura style indexes: evidence from Japanese monthly and daily data sets |
| title_sort | fama and french risk factors constructed from russell nomura style indexes evidence from japanese monthly and daily data sets |
| topic | AC Collections. Series. Collected works |
| url | http://eprints.um.edu.my/11102/1/Fama_and_French_Risk_Factors.pdf |
| work_keys_str_mv | AT lauwy famaandfrenchriskfactorsconstructedfromrussellnomurastyleindexesevidencefromjapanesemonthlyanddailydatasets |