Are the Fama–French factors good proxies for latent risk factors? Evidence from the data of SHSE in China

This paper applies the new procedure developed by Bai and Ng (2006a) to explore the relation between the Fama–French factors and the latent risk factors in China’s stock market. The results show that the Fama–French factors are good proxies for risk factors of portfolios. For individual stock, only the Market factor is appropriate to proxy risk factors, while the other proxies we consider are not.

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Year of publication:	2012
Authors:	Lin, Jianhao ; Wang, Meijin ; Cai, Lingfeng
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 2, p. 265-268
Publisher:	Elsevier
Subject:	Fama–French factors \| Latent risk factors \| Proxies \| Principal components

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Type of publication:	Article
Classification:	C5 - Econometric Modeling ; G1 - General Financial Markets ; G2 - Financial Institutions and Services
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010597183