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...
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| Format: | Conference or Workshop Item |
| Language: | English |
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2009
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| Online Access: | http://eprints.um.edu.my/11102/1/Fama_and_French_Risk_Factors.pdf |
