A simple test of the Fama and French model using daily data: Australian evidence

$53.29 plus tax (Refund Policy)

Buy Article:

Abstract:

The current study contributes to the empirical literature aimed at testing the Fama and French three-factor model, using daily Australian data. In general, the evidence found is quite favourable to the model based on formal asset pricing tests. However, when the estimated risk premia are taken into account, the support for the Fama-French model is less persuasive. In particular, a negative size premium is uncovered consistent with a wave of recent findings questioning its continued existence over recent years.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/0960310042000176353

Affiliations: Department of Accounting and Finance Faculty of Business and Economics Monash University PO Box 11E Victoria 3800 Australia, Email: robert.faff@buseco.monash.edu.au

Publication date: January 15, 2004

More about this publication?
Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more