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Creating Fama and French Factors with Style

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Author Info

  • Robert W. Faff

Abstract

This paper utilizes Frank Russell style portfolios to create useful proxies for the Fama and French (1992) factors. The proxy-mimicking portfolios are shown to represent a pervasive source of exposure across U.S. industry portfolios and to generally possess similar properties to those utilized in the finance literature. Further, a set of multivariate asset-pricing tests of the three-factor Fama and French asset-pricing (FF) model based on the proxy factors fails to reject the model. However, these tests do not reveal strong evidence of significantly positive risk premiums, particularly in the case of the size and book-to-market factors. Copyright 2003 by the Eastern Finance Association.

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Bibliographic Info

Article provided by Eastern Finance Association in its journal The Financial Review.

Volume (Year): 38 (2003)
Issue (Month): 2 (05)
Pages: 311-322

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Handle: RePEc:bla:finrev:v:38:y:2003:i:2:p:311-322

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Web page: http://www.easternfinance.org/
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Cited by:
  1. Quentin Wodon, 2007. "Constructing Fama-French Factors from style indexes: Japanese evidence," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-10.
  2. repec:ebl:ecbull:v:7:y:2007:i:7:p:1-10 is not listed on IDEAS
  3. Jon Eggins & Robert J. Hill, 2008. "Momentum and Contrarian Stock-Market Indices," Discussion Papers 2008-07, School of Economics, The University of New South Wales.

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