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

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...

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Bibliographic Details

Main Author:	Lau, W.Y.
Format:	Conference or Workshop Item
Language:	en
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/
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