Article ID Journal Published Year Pages File Type
5060570 Economics Letters 2012 4 Pages PDF
Abstract
► 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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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