Are the Fama–French factors good proxies for latent risk factors? Evidence from the data of SHSE in China
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DOI: 10.1016/j.econlet.2012.02.026
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- Bianco, Dominique & Niang, Abdou-Aziz, 2012. "On International Spillovers," MPRA Paper 41046, University Library of Munich, Germany.
- Pujian Yang & Liu Yang, 2022. "Asset pricing and nominal price illusion in China," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-9, December.
- Tong Fang & Zhi Su & Libo Yin, 2021. "Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market," Empirical Economics, Springer, vol. 60(5), pages 2155-2176, May.
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- Jieting Chen & Yuichiro Kawaguchi, 2018. "Multi-Factor Asset-Pricing Models under Markov Regime Switches: Evidence from the Chinese Stock Market," IJFS, MDPI, vol. 6(2), pages 1-19, May.
- Lanlan Liu & Dan Luo & Liang Han, 2019. "Default risk, state ownership and the cross-section of stock returns: evidence from China," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 933-966, November.
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More about this item
Keywords
Fama–French factors; Latent risk factors; Proxies; Principal components;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
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