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.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Are the Fama-French factors good proxies for latent risk factors? Evidence from the data of SHSE in China
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