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Instructions
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| Current Issue |
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| Volume 1, Issue:1
(December 2009) Published Online: December 21th 2009 |
Abstract | Full
Text
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Title:
Constructing Fama-French model from Russell/Nomura style indexes:
Japanese evidence
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Author(s):
Elhaj Mabrouk Walid
Graduate School of Economics, Osaka University, Japan
Wee-Yeap Lau
Faculty of Economics & Administration, University of Malaya,
Malaysia
Send correspondance to Elhaj Mabrouk Walid Graduate School
of Economics, Osaka University, Japan 1-7 Machikaneyama, Toyonaka,
Osaka 560-0043.
E-mail: egb008mw@mail2.econ.osaka-u.ac.jp.
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History:
Received 21 Nov 2009
Accepted
8 December 2009
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Abstract:
In this paper we use risk factors constructed from Russell/Nomura
style indexes in an attempt to make the Fama and French (FF)
three-factor model more appealing, which is new to the existing
literature. The newly constructed size and Book-to-Market
(BM) risk factors made from style indexes possess similar
features to those used in previous literature. The performance
of Fama and French (FF) asset pricing model based on the proxy
factors is evaluated through a direct and simple generalized
method of moments (GMM) test of 33 industry indexes from Tokyo
Stock Exchange First Section, JASDAQ, Hercules, and other
exchanges. The over-identifying restrictions test statistics
could not reject the FF model with any industry. Also, the
estimated risk factor premiums brought further support to
the use of FF model with risk factors constructed from style
indexes.
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| Keywords:
Pricing, Fama and French risk factors, Generalized Method of
Moments (GMM). |
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