Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5060570 | Economics Letters | 2012 | 4 Pages |
Abstract
⺠We use the method of principal components to estimate risk factors. ⺠This paper explores the relation between the Fama-French factors and the latent risk factors in China's stock market. ⺠The results show that the Fama-French factors are good proxies for risk factors of portfolios. ⺠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
Jianhao Lin, Meijin Wang, Lingfeng Cai,