메뉴 건너뛰기




Volumn 15, Issue 3, 2002, Pages 783-803

Are the Fama and French Factors Global or Country Specific?

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0036296822     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/15.3.783     Document Type: Review
Times cited : (425)

References (46)
  • 1
    • 0344970288 scopus 로고    scopus 로고
    • Two-Pass Cross-Sectional Regression of Factor Pricing Models: Minimum Distance Estimation
    • Arizona State University
    • Ahn, S. C., and C. Gadarowski, 2000, "Two-Pass Cross-Sectional Regression of Factor Pricing Models: Minimum Distance Estimation," working paper, Arizona State University.
    • (2000) Working Paper
    • Ahn, S.C.1    Gadarowski, C.2
  • 2
    • 84993921333 scopus 로고
    • A New Approach to International Arbitrage Pricing
    • Bansal, R., D. Hsieh, and R. Viswanathan, 1993, "A New Approach to International Arbitrage Pricing," Journal of Finance, 48, 1719-1747.
    • (1993) Journal of Finance , vol.48 , pp. 1719-1747
    • Bansal, R.1    Hsieh, D.2    Viswanathan, R.3
  • 3
    • 0010023511 scopus 로고
    • The Relationship Between Return and Market Value of Common Stocks
    • Banz, R., 1981, "The Relationship Between Return and Market Value of Common Stocks," Journal of Financial Economics, 9, 3-18.
    • (1981) Journal of Financial Economics , vol.9 , pp. 3-18
    • Banz, R.1
  • 4
    • 0345401734 scopus 로고    scopus 로고
    • Size and Book-to-Market Effects: Evidence from Emerging Markets
    • Texas Christian University
    • Barry, C., E. Goldreyer, L. Lockwood, and M. Rodriguez, 1999, "Size and Book-to-Market Effects: Evidence from Emerging Markets," working paper, Texas Christian University.
    • (1999) Working Paper
    • Barry, C.1    Goldreyer, E.2    Lockwood, L.3    Rodriguez, M.4
  • 5
    • 21844509410 scopus 로고
    • A Critique of Size Related Anomalies
    • Berk, J. B., 1995, "A Critique of Size Related Anomalies," Review of Financial Studies, 8, 275-286.
    • (1995) Review of Financial Studies , vol.8 , pp. 275-286
    • Berk, J.B.1
  • 6
    • 0040141966 scopus 로고    scopus 로고
    • Sorting Out Sorts
    • Berk, J. B., 2000, "Sorting Out Sorts," Journal of Finance, 55, 407-427.
    • (2000) Journal of Finance , vol.55 , pp. 407-427
    • Berk, J.B.1
  • 7
    • 84977718189 scopus 로고
    • Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
    • Bekaert, G., and R. Hodrick, 1992, "Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," Journal of Finance, 47, 467-509.
    • (1992) Journal of Finance , vol.47 , pp. 467-509
    • Bekaert, G.1    Hodrick, R.2
  • 8
    • 84977709173 scopus 로고
    • Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
    • Campbell, I., and Y. Hamao, 1992, "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," Journal of Finance, 47, 43-69.
    • (1992) Journal of Finance , vol.47 , pp. 43-69
    • Campbell, I.1    Hamao, Y.2
  • 9
    • 0002099720 scopus 로고
    • International Value and Growth Stock Returns
    • January-February
    • Capaul, C., I. Rowley, and W. F. Sharpe, 1993, "International Value and Growth Stock Returns," Financial Analysts Journal, January-February, 27-36.
    • (1993) Financial Analysts Journal , pp. 27-36
    • Capaul, C.1    Rowley, I.2    Sharpe, W.F.3
  • 10
    • 84977726602 scopus 로고
    • An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrument for Risk
    • Chan, K. C., and N. Chen, 1988, "An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrument for Risk," Journal of Finance, 43, 309-325.
    • (1988) Journal of Finance , vol.43 , pp. 309-325
    • Chan, K.C.1    Chen, N.2
  • 11
    • 0000232861 scopus 로고
    • An Exploratory Investigation of the Firm Size Effect
    • Chan, K. C., N. Chen, and D. Hsieh, 1985, "An Exploratory Investigation of the Firm Size Effect," Journal of Financial Economics, 14, 451-471.
    • (1985) Journal of Financial Economics , vol.14 , pp. 451-471
    • Chan, K.C.1    Chen, N.2    Hsieh, D.3
  • 12
  • 13
    • 44049114170 scopus 로고
    • Global Financial Markets and the Risk Premium on U.S. Equity
    • Chan, K. C., G. Karolyi, and R. Stulz, 1992, "Global Financial Markets and the Risk Premium on U.S. Equity," Journal of Financial Economics, 32, 137-167.
    • (1992) Journal of Financial Economics , vol.32 , pp. 137-167
    • Chan, K.C.1    Karolyi, G.2    Stulz, R.3
  • 14
    • 0002014264 scopus 로고    scopus 로고
    • Evidence on the Characteristics of Cross-Sectional Variation in Stock Returns
    • Daniel, K., and S. Titman, 1997, "Evidence on the Characteristics of Cross-Sectional Variation in Stock Returns," Journal of Finance, 52, 1-33.
    • (1997) Journal of Finance , vol.52 , pp. 1-33
    • Daniel, K.1    Titman, S.2
  • 15
    • 0007982727 scopus 로고    scopus 로고
    • Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?
    • Daniel, K., and S. Titman, and J. Wei, 2001, "Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?," Journal of Finance, 56, 743-766.
    • (2001) Journal of Finance , vol.56 , pp. 743-766
    • Daniel, K.1    Titman, S.2    Wei, J.3
  • 16
    • 0039030368 scopus 로고    scopus 로고
    • Characteristics, Covariances, and Average Returns: 1929-1997
    • Davis, J., E. F. Fama, and K. R. French, 2000, "Characteristics, Covariances, and Average Returns: 1929-1997," Journal of Finance, 55, 389-406.
    • (2000) Journal of Finance , vol.55 , pp. 389-406
    • Davis, J.1    Fama, E.F.2    French, K.R.3
  • 18
    • 38549147867 scopus 로고
    • Common Risk Factors in the Returns on Stocks and Bonds
    • Fama, E. F., and K. R. French, 1993, "Common Risk Factors in the Returns on Stocks and Bonds," Journal of Financial Economics, 33, 3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 20
    • 11544342489 scopus 로고    scopus 로고
    • Value versus Growth: The International Evidence
    • Fama, E. F., and K. R. French, 1998, "Value versus Growth: The International Evidence," Journal of Finance, 53, 1975-1999.
    • (1998) Journal of Finance , vol.53 , pp. 1975-1999
    • Fama, E.F.1    French, K.R.2
  • 21
    • 0000928969 scopus 로고
    • Risk, Return, and Equilibrium: Empirical Tests
    • Fama, E. F., and J. D. MacBeth, 1973, "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, 81, 607-636.
    • (1973) Journal of Political Economy , vol.81 , pp. 607-636
    • Fama, E.F.1    Macbeth, J.D.2
  • 22
    • 77957094044 scopus 로고
    • Theory and Empirical Testing of Asset Pricing Models
    • R. Jarrow, V. Maksimovic, and W. T. Ziemba (eds.), Elsevier, Amsterdam
    • Ferson, W. E., 1995, "Theory and Empirical Testing of Asset Pricing Models," in R. Jarrow, V. Maksimovic, and W. T. Ziemba (eds.), Finance, Handbook in Operations Research and Management Science, Elsevier, Amsterdam.
    • (1995) Finance, Handbook in Operations Research and Management Science
    • Ferson, W.E.1
  • 23
    • 21344486016 scopus 로고
    • The Risk and Predictability of International Equity Returns
    • Person, W. E., and C. R. Harvey, 1993, "The Risk and Predictability of International Equity Returns," Review of Financial Studies, 6, 527-565.
    • (1993) Review of Financial Studies , vol.6 , pp. 527-565
    • Person, W.E.1    Harvey, C.R.2
  • 24
    • 0000369716 scopus 로고
    • Sources of Risk and Expected Returns in Global Equity Markets
    • Ferson, W. E., and C. R. Harvey, 1994, "Sources of Risk and Expected Returns in Global Equity Markets," Journal of Banking and Finance, 18, 775-803.
    • (1994) Journal of Banking and Finance , vol.18 , pp. 775-803
    • Ferson, W.E.1    Harvey, C.R.2
  • 25
    • 0031521248 scopus 로고    scopus 로고
    • Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing
    • Ferson, W. E., and C. R. Harvey, 1997, "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing," Journal of Banking and Finance, 21, 1625-1665.
    • (1997) Journal of Banking and Finance , vol.21 , pp. 1625-1665
    • Ferson, W.E.1    Harvey, C.R.2
  • 26
    • 0009888594 scopus 로고    scopus 로고
    • Conditioning Variables and the Cross-Section of Stock Returns
    • Ferson, W. E., and C. R. Harvey, 1999, "Conditioning Variables and the Cross-Section of Stock Returns," Journal of Finance, 54, 1325-1360.
    • (1999) Journal of Finance , vol.54 , pp. 1325-1360
    • Ferson, W.E.1    Harvey, C.R.2
  • 27
    • 0032047940 scopus 로고    scopus 로고
    • Estimating the Cost of Capital Through Time: An Analysis of the Sources of Error
    • Ferson, W. E., and D. H. Locke, 1998, "Estimating the Cost of Capital Through Time: An Analysis of the Sources of Error," Management Science, 44, 485-500.
    • (1998) Management Science , vol.44 , pp. 485-500
    • Ferson, W.E.1    Locke, D.H.2
  • 29
    • 0001534103 scopus 로고
    • A Test of the Efficiency of a Given Portfolio
    • Gibbons, M. R., S. A. Ross, and J. Shanken, 1989, "A Test of the Efficiency of a Given Portfolio," Econometrica, 57, 1121-1151.
    • (1989) Econometrica , vol.57 , pp. 1121-1151
    • Gibbons, M.R.1    Ross, S.A.2    Shanken, J.3
  • 30
    • 0345401735 scopus 로고    scopus 로고
    • Does Book-to-Market Equity Proxy for Distress Risk or Mispricing?
    • Arizona State University
    • Griffin, J. M., and M. Lemmon, 2001, "Does Book-to-Market Equity Proxy for Distress Risk or Mispricing?," working paper, Arizona State University.
    • (2001) Working Paper
    • Griffin, J.M.1    Lemmon, M.2
  • 31
    • 84977703701 scopus 로고
    • Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets
    • Gultekin, M. N., N. B. Gultekin, and A. Penati, 1989, "Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets," Journal of Finance, 44, 849-860.
    • (1989) Journal of Finance , vol.44 , pp. 849-860
    • Gultekin, M.N.1    Gultekin, N.B.2    Penati, A.3
  • 32
    • 84977722638 scopus 로고
    • The World Price of Covariance Risk
    • Harvey, C. R., 1991, "The World Price of Covariance Risk," Journal of Finance, 46, 111-157.
    • (1991) Journal of Finance , vol.46 , pp. 111-157
    • Harvey, C.R.1
  • 34
    • 0040812987 scopus 로고    scopus 로고
    • The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
    • University of Pennsylvania
    • Hawawini, G., and D. B. Keim, 1997, "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," working paper, University of Pennsylvania.
    • (1997) Working Paper
    • Hawawini, G.1    Keim, D.B.2
  • 35
    • 84944832612 scopus 로고
    • Integration vs. Segmentation in the Canadian Stock Market
    • Jorion, P., and E. Schwartz, 1986, "Integration vs. Segmentation in the Canadian Stock Market," Journal of Finance, 41, 603-614.
    • (1986) Journal of Finance , vol.41 , pp. 603-614
    • Jorion, P.1    Schwartz, E.2
  • 36
    • 70350279102 scopus 로고
    • The Value-Weighted Average Mis-specification in Asset Pricing Models
    • University of Toronto
    • Kan, R., and C. Zhang, 1995, "The Value-Weighted Average Mis-specification in Asset Pricing Models," working paper, University of Toronto.
    • (1995) Working Paper
    • Kan, R.1    Zhang, C.2
  • 37
    • 0040633111 scopus 로고    scopus 로고
    • Two-Pass Tests of Asset Pricing Models with Useless Factors
    • Kan, R., and C. Zhang, 1999, "Two-Pass Tests of Asset Pricing Models with Useless Factors," Journal of Finance, 54, 203-235.
    • (1999) Journal of Finance , vol.54 , pp. 203-235
    • Kan, R.1    Zhang, C.2
  • 38
    • 0000113873 scopus 로고
    • An Empirical Investigation of International Asset Pricing
    • Korajczyk, R. A., and C. J. Viallet, 1989, "An Empirical Investigation of International Asset Pricing," Review of Financial Studies, 2, 553-585.
    • (1989) Review of Financial Studies , vol.2 , pp. 553-585
    • Korajczyk, R.A.1    Viallet, C.J.2
  • 39
    • 84993869066 scopus 로고
    • Contrarian Investment, Extrapolation, and Risk
    • Lakonishok, J., A. Shleifer, and R. W. Vishny, 1994, "Contrarian Investment, Extrapolation, and Risk," Journal of Finance, 49, 1541-1578.
    • (1994) Journal of Finance , vol.49 , pp. 1541-1578
    • Lakonishok, J.1    Shleifer, A.2    Vishny, R.W.3
  • 40
    • 0000473546 scopus 로고    scopus 로고
    • Can Book-to-Market, Size and Momentum be Risk Factors that Predict Economic Growth?
    • Liew J., and M. Vassalou, 2000, "Can Book-to-Market, Size and Momentum be Risk Factors that Predict Economic Growth?," Journal of Financial Economics, 57, 221-245.
    • (2000) Journal of Financial Economics , vol.57 , pp. 221-245
    • Liew, J.1    Vassalou, M.2
  • 41
    • 84993915044 scopus 로고
    • Additional Evidence on Integration in the Canadian Stock Market
    • Mittoo, U. R., 1992, "Additional Evidence on Integration in the Canadian Stock Market," Journal of Finance, 47, 2035-2054.
    • (1992) Journal of Finance , vol.47 , pp. 2035-2054
    • Mittoo, U.R.1
  • 43
    • 0001783260 scopus 로고
    • On the Estimation of Beta-Pricing Models
    • Shanken, J., 1992, "On the Estimation of Beta-Pricing Models," Review of Financial Studies, 5, 1-33.
    • (1992) Review of Financial Studies , vol.5 , pp. 1-33
    • Shanken, J.1
  • 44
    • 0142220597 scopus 로고    scopus 로고
    • The Predictive Performance of Asset Pricing Models
    • University of Washington
    • Simin, T., 2000, "The Predictive Performance of Asset Pricing Models," working paper, University of Washington.
    • (2000) Working Paper
    • Simin, T.1
  • 45
    • 0001648896 scopus 로고
    • International Arbitrage Pricing Theory
    • Solnik, B., 1983, "International Arbitrage Pricing Theory," Journal of Finance, 38, 449-457.
    • (1983) Journal of Finance , vol.38 , pp. 449-457
    • Solnik, B.1
  • 46
    • 0003227167 scopus 로고
    • International Asset Pricing: An Integrative Survey
    • R. Jarrow, V. Maksimovic, and W. T. Ziemba (eds.), North Holland, Amsterdam
    • Stulz, R. M., 1995, "International Asset Pricing: An Integrative Survey," in R. Jarrow, V. Maksimovic, and W. T. Ziemba (eds.), The Handbook of Modern Finance, North Holland, Amsterdam.
    • (1995) The Handbook of Modern Finance
    • Stulz, R.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.