A simple test of the Fama and French model using daily data: Australian evidence

Robert Faff

doi:10.1080/0960310042000176353

A simple test of the Fama and French model using daily data: Australian evidence

Robert Faff^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › Research › peer-review

55 Citations (Scopus)

Abstract

The current study contributes to the empirical literature aimed at testing the Fama and French three-factor model, using daily Australian data. In general, the evidence found is quite favourable to the model based on formal asset pricing tests. However, when the estimated risk premia are taken into account, the support for the Fama-French model is less persuasive. In particular, a negative size premium is uncovered consistent with a wave of recent findings questioning its continued existence over recent years.

Original language	English
Pages (from-to)	83-92
Number of pages	10
Journal	Applied Financial Economics
Volume	14
Issue number	2
DOIs	https://doi.org/10.1080/0960310042000176353
Publication status	Published - 15 Jan 2004
Externally published	Yes

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10.1080/0960310042000176353

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A simple test of the Fama and French model using daily data: Australian evidence

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