A Theoretical Reconciliation of Fama-French Factors and Flat Sml

2006 ◽  
Author(s):  
Haim Kedar-Levy
Keyword(s):  
Fama French Factors

Fama French factors and US stock return predictability

2014 ◽  
Vol 15 (2) ◽  
pp. 110-128 ◽  
Author(s):  
Ekaterini Panopoulou ◽  
Sotiria Plastira
Keyword(s):  
Stock Return ◽  
Return Predictability ◽  
Stock Return Predictability ◽  
Fama French Factors

Are the Fama-French Factors Proxying Default Risk?

2007 ◽  
Vol 32 (2) ◽  
pp. 223-249 ◽  
Author(s):  
Philip Gharghori ◽  
Howard Chan ◽  
Robert Faff
Keyword(s):  
Default Risk ◽  
Fama French Factors

scholarly journals Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization

2019 ◽  
Vol 24 (4) ◽  
pp. 1443-1463 ◽  
Author(s):  
Yang Zhao ◽  
Charalampos Stasinakis ◽  
Georgios Sermpinis ◽  
Filipa Da Silva Fernandes
Keyword(s):  
Portfolio Optimization ◽  
Bayesian Modelling ◽  
Fama French Factors

scholarly journals What Do the Fama-French Factors Add to C-CAPM?

2013 ◽  
Author(s):  
Pongrapeeporn Abhakorn ◽  
Peter N. Smith ◽  
Michael R. Wickens
Keyword(s):  
Fama French Factors

scholarly journals Testing Beta-Pricing Models Using Large Cross-Sections

2019 ◽  
Vol 33 (6) ◽  
pp. 2796-2842 ◽  
Author(s):  
Valentina Raponi ◽  
Cesare Robotti ◽  
Paolo Zaffaroni
Keyword(s):  
Cross Sections ◽  
Risk Premia ◽  
Expected Returns ◽  
Firm Characteristics ◽  
Pricing Models ◽  
Cross Sectional ◽  
Misspecified Models ◽  
Oxford University ◽  
Fama French Factors ◽  
Published Paper

Abstract We propose a methodology for estimating and testing beta-pricing models when a large number of assets is available for investment but the number of time-series observations is fixed. We first consider the case of correctly specified models with constant risk premia, and then extend our framework to deal with time-varying risk premia, potentially misspecified models, firm characteristics, and unbalanced panels. We show that our large cross-sectional framework poses a serious challenge to common empirical findings regarding the validity of beta-pricing models. In the context of pricing models with Fama-French factors, firm characteristics are found to explain a much larger proportion of variation in estimated expected returns than betas. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

scholarly journals What do the Fama–French factors add to C-CAPM?

2013 ◽  
Vol 22 ◽  
pp. 113-127 ◽  
Author(s):  
Pongrapeeporn Abhakorn ◽  
Peter N. Smith ◽  
Michael R. Wickens
Keyword(s):  
Fama French Factors

Fear and the Fama-French Factors

2007 ◽  
Author(s):  
Robert B. Durand ◽  
Dominic Lim ◽  
J. Kenton Zumwalt
Keyword(s):  
Fama French Factors
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