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

Keywords

Proxy (statistics), Econometrics, Risk premium, Economics, Sample (material)

References

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• Common risk factors in the returns on stocks and bondsEugene F. Fama, Kenneth R. French — 1993
• Three analyses of the firm size premiumJoël L. Horowitz, Tim Loughran, N. E. Savin — 2000
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• Another Look at the Cross-section of Expected Stock ReturnsS.P. Kothari, Jay Shanken, Richard G. Sloan — 1995

Cited by

• Can Extension of fundamental Models Cancel the Existence of Abnormal Returns in Emerging MarketNizar Hachicha, Amina Amirat, Abdelfettah Bouri — 2008
• A best choice among asset pricing models? The conditional CAPM in Australia.Nick Durack, Robert B. Durand, Ross Maller — 2005
• Fama and French Three-Factor Model: Evidence from Istanbul Stock ExchangeVeysel Eraslan — 2013
• Industry concentration and stock returns: evidence from publicly listed firms in the U.KNawar Hashem — 2011
• An Empirical Investigation of the Italian StockMarket Based on the Augmented Fama andFrench Three-Factor Pricing ModelPaola Brighi, Stefano d’Addona — 2008
• The Relationship Between Corporate Social Performance And Financial Asset CharacteristicsIngebjørg Kristoffersen — 2005
• Essays on equity portfolio managementAdam James Corbett — 2014
• The small firm and other confounding effects in asset pricing data: Some evidence from Australian marketsBernard Bollen, Michael Dempsey — 2010
• Value at Risk: A Standard Tool in Measuring Risk : A Quantitative Study on Stock PortfolioH. Ofe, Peter Okah — 2011
• Are company size and stock beta, liquidity and idiosyncratic volatility related to stock returns? Australian evidenceBernard Bollen, Louise Clayton, Michael Dempsey — 2008
• Net Share Issues and the Cross‐Section of Equity Returns Under a Dividend Imputation Tax SystemAdrian Melia, Paul Docherty, Steve Easton — 2016
• Asset Price Developments in an Emerging Stock Market: The Case of MauritiusSunil K. Bundoo — 2011
• Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometrichePaola De Santis, Carlo Drago — 2014
• Investor Expectations and Systematic RiskAdam Clements, Michael E. Drew — 2003
• Fiduciary finance and the pricing of financial claims: a conceptual approach to investmentMartin Gold — 2007
• IMPACT OF FINANCIAL CRISIS ON STOCK RETURNS: EVIDENCE FROM SINGAPORENafis Alam, Ee Chain Tan — 2012
• Size, BM, and momentum effects and the robustness of the Fama-French three-factor model: Evidence from New ZealandGilbert V. Nartea, Bert D. Ward, Hadrian Geri Djajadikerta — 2009
• Relevansi Informasi Anomali Akrual Dalam Pembentukan Portofolio SahamRowland Bismark Pasaribu — 2009
• Information Asymmetry, Information Attributes and Industry Sector ReturnsNarelle Gordon, Edward Watts, Qiongbing Wu — 2013
• Size, P/E Ratio and Equity Stock Returns in PakistanAima Razzaq Mahawish Rehman, Abdul Qadeer Asif Razzaq — 2015

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