Do The Fama - French Factors Proxy for Innovations in Predictive Variables ?  

Oleh:

Petkova, Ralitsa

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 2 (Apr. 2006), page 581-612.
Topik: variables; economic models; studies; treasuries; innovations
Fulltext: p 581.pdf (267.57KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The fama - french factors HML and SMB are correlated with innovatons in variables that describe investment opportunities. A model that includes shocks to the aggregate dividend yield and term spread, default spread and one month treasury - bill yield explains the cross section of average returns better than the fama - french model. When loadings on the innovations in the predictive variables are present in the model, loadings on HML and SMB lose their explanatory power for the cross section of returns. The returns are consistent with an ICAPM explanation for the empirical success of the fama - french portfolios.

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