Article2004

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

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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.

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References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1996Multifactor Explanations of Asset Pricing Anomalies 1995Size and Book-to-Market Factors in Earnings and Returns 1996The Conditional CAPM and the Cross-Section of Expected Returns 1998Value versus Growth: The International Evidence 1998Institutional Investors and Equity Prices 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models

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