IDEAS home Printed from https://ideas.repec.org/a/bla/econpa/v34y2015i4p290-301.html
   My bibliography  Save this article

Which Factors Are Priced? An Application of the Fama French Three-Factor Model in Australia

Author

Listed:
  • Duc Hong Vo

Abstract

type="main" xml:id="ecpa12119-abs-0001"> Various empirical studies on the application of the Fama French three-factor model have been attempted and the conclusions are mixed on which factors from the model are priced in the Australian context. Different approaches to portfolio formations have been adopted in different studies. This empirical study is conducted to examine the robustness of the estimates under various approaches to portfolio formation and to provide additional evidence on the debate of the “relevance” of the Fama French three-factor model in Australian regulatory decisions. Using the Fama and MacBeth (1973)'s two-stage cross-sectional regression technique on the period of five years, the standard Australian regulatory cycle, from July 2009 to May 2014, the findings from this study are mixed. It is argued that while the application of the Fama French three-factor model is interesting for research endeavour, the adoption of this model into public policy is problematic and as such, not recommended.

Suggested Citation

  • Duc Hong Vo, 2015. "Which Factors Are Priced? An Application of the Fama French Three-Factor Model in Australia," Economic Papers, The Economic Society of Australia, vol. 34(4), pages 290-301, December.
    • Handle: RePEc:bla:econpa:v:34:y:2015:i:4:p:290-301
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/ecpa.2015.34.issue-4
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Duc Hong Vo, 2021. "Portfolio Optimization and Diversification in China: Policy Implications for Vietnam and Other Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(1), pages 223-238, January.
    2. Fahad Ali & RongRong He & YueXiang Jiang, 2018. "Size, Value and Business Cycle Variables. The Three-Factor Model and Future Economic Growth: Evidence from an Emerging Market," Economies, MDPI, vol. 6(1), pages 1-24, February.
    3. Thang Cong Nguyen & Tan Ngoc Vu & Duc Hong Vo & Michael McAleer, 2020. "Systematic Risk at the Industry Level: A Case Study of Australia," Risks, MDPI, vol. 8(2), pages 1-12, April.
    4. Kenneth Clements & Liang Li, 2017. "Understanding resource investments," Applied Economics, Taylor & Francis Journals, vol. 49(20), pages 1950-1962, April.
    5. Ruan, Qingsong & Yang, Bingchan, 2017. "The effects of common risk factors on stock returns: A detrended cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 362-374.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:econpa:v:34:y:2015:i:4:p:290-301. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/esausea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.