Are the Fama–French factors good proxies for latent risk factors? Evidence from the data of SHSE in China
AbstractThis paper applies the new procedure developed by Bai and Ng (2006a) to explore 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, while the other proxies we consider are not.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 116 (2012)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/ecolet
Fama–French factors; Latent risk factors; Proxies; Principal components;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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