Fama and French risk factors constructed from Russell/Nomura style indexes: evidence from Japanese monthly and daily data sets

• Main Author: Lau, W.Y.
• Format: Conference or Workshop Item
• Language: English
• Published: 2009
• Subjects: AC Collections. Series. Collected works
• Online Access: http://eprints.um.edu.my/11102/1/Fama_and_French_Risk_Factors.pdf; http://eprints.um.edu.my/11102/

This paper uses risk factors constructed from Russell/Nomura style indexes as proxies in an attempt to make the Fama and French three-factor asset pricing model more appealing. The performance of these benchmark factors is evaluated through a direct and simple generalized method of moments test usi...