All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Quentin Wodon
 
''Constructing Fama-French Factors from style indexes: Japanese evidence''
( 2007, Vol. 7 No.7 )
 
 
One feature that potentially makes the Fama-French (FF) three-factor model less appealing than the Capital Asset Pricing Model (CAPM) is the complexity of the FF model versus simplicity of the CAPM. This motivates us to construct simple benchmarks for FF factors in Japanese market by using four commercially available Daiwa style indexes. The performance of benchmark choice is evaluated through a direct and simple generalized method of moments (GMM) test. Our simply constructed FF factors can explain returns on 33 industry indexes of all common stocks listed on the first section of Tokyo Stock Exchange. Taken FF risk premiums into consideration, finding on a reversal of size effect during post-bubble period confirms similar findings from previous literature.
 
 
Keywords:
JEL: G0 - Financial Economics: General
G1 - General Financial Markets: General (includes Measurement and Data)
 
Manuscript Received : Aug 23 2006 Manuscript Accepted : May 22 2007

  This abstract has been downloaded 740 times                The Full PDF of this paper has been downloaded 87718 times