Document Type
Conference Item
Publication Date
7-1-2009
Abstract
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.
Keywords
Fama and French three-factor model, Generalized Method of Moments (GMM)
Divisions
FacultyofEconomicsAdministration
Event Title
17th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management
Event Location
Bangkok, Thailand
Event Dates
01-02 July 2009
Event Type
conference