کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5060570 1371806 2012 4 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Are the Fama-French factors good proxies for latent risk factors? Evidence from the data of SHSE in China
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Are the Fama-French factors good proxies for latent risk factors? Evidence from the data of SHSE in China
چکیده انگلیسی
► We use the method of principal components to estimate risk factors. ► This paper explores the relation between the Fama-French factors and the latent risk factors in China's stock market. ► The results show that the Fama-French factors are good proxies for risk factors of portfolios. ► For individual stock, only the Market factor is appropriate to proxy risk factors.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 116, Issue 2, August 2012, Pages 265-268
نویسندگان
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