Are the Fama-French Factors Proxying Default Risk?

In this paper we investigate the contention that the Fama-French (1993) model's ability to explain cross-sectional variation in equity returns occurs because the Fama-French factors, SMB and HML, are proxying for default risk. To assess the default risk hypothesis, we augment the CAPM and the F...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Australian journal of management 2007-12, Vol.32 (2), p.223-250
Hauptverfasser:	Gharghori, Philip, Chan, Howard, Faff, Robert
Format:	Artikel
Sprache:	eng
Schlagworte:	Capital assets Capital assets pricing model CAPM Default Default (Finance) Equity Fama-French model Hedging Hypotheses Mathematical models Prices Rates of return Regression analysis Risk assessment Risk management Stocks Studies
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!