메뉴 건너뛰기




Volumn 38, Issue 2, 2003, Pages 311-322

Creating fama and french factors with style

Author keywords

Fama and French factors; Style indexes

Indexed keywords


EID: 33748299747     PISSN: 07328516     EISSN: 15406288     Source Type: Journal    
DOI: 10.1111/1540-6288.00048     Document Type: Article
Times cited : (28)

References (18)
  • 3
    • 0010964515 scopus 로고
    • New evidence on the nature of size-related anomalies in stock prices
    • Brown, P., A. Kleidon., and T. Marsh., 1983. New evidence on the nature of size-related anomalies in stock prices, Journal of Financial Economics 12, 33-56.
    • (1983) Journal of Financial Economics , vol.12 , pp. 33-56
    • Brown, P.1    Kleidon, A.2    Marsh, T.3
  • 4
    • 0039926539 scopus 로고    scopus 로고
    • Is beta dead? The role of alternative estimation methods
    • Clare, A., R. Priestley., and S. Thomas., 1997. Is beta dead? The role of alternative estimation methods, Applied Economic Letters 4, 559-562.
    • (1997) Applied Economic Letters , vol.4 , pp. 559-562
    • Clare, A.1    Priestley, R.2    Thomas, S.3
  • 5
    • 0000413322 scopus 로고    scopus 로고
    • Reports of beta’s death are premature: Evidence from the UK
    • Clare, A., R. Priestley., and S. Thomas., 1998. Reports of beta’s death are premature: Evidence from the UK, Journal of Banking and Finance 22, 1207-1229.
    • (1998) Journal of Banking and Finance , vol.22 , pp. 1207-1229
    • Clare, A.1    Priestley, R.2    Thomas, S.3
  • 6
    • 84993906169 scopus 로고
    • The cross-section of realized stock returns: The pre-COMPUSTAT evidence
    • Davis, J., 1994. The cross-section of realized stock returns: The pre-COMPUSTAT evidence, Journal of Finance 49, 1579-1593.
    • (1994) Journal of Finance , vol.49 , pp. 1579-1593
    • Davis, J.1
  • 7
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, E., and K. French., 1992. The cross-section of expected stock returns, Journal of Finance 47, 427-467.
    • (1992) Journal of Finance , vol.47 , pp. 427-467
    • Fama, E.1    French, K.2
  • 8
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, E., and K. 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.1    French, K.2
  • 9
    • 84993845943 scopus 로고
    • Size and book-to-market factors in earnings and returns
    • Fama, E., and K. French., 1995. Size and book-to-market factors in earnings and returns, Journal of Finance 50, 131-155.
    • (1995) Journal of Finance , vol.50 , pp. 131-155
    • Fama, E.1    French, K.2
  • 10
    • 0013413658 scopus 로고    scopus 로고
    • Multifactor explanations of asset pricing anomalies
    • Fama, E., and K. French., 1996. Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
    • (1996) Journal of Finance , vol.51 , pp. 55-84
    • Fama, E.1    French, K.2
  • 11
    • 11544342489 scopus 로고    scopus 로고
    • Value versus growth: The international evidence
    • Fama, E., and K. 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.1    French, K.2
  • 12
    • 0000369716 scopus 로고
    • Sources of risk and expected returns in global equity markets
    • Ferson, W., and C. 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.1    Harvey, C.2
  • 13
    • 43949159894 scopus 로고
    • Finite sample properties of the generalized method of moments in tests of conditional asset pricing models
    • Ferson, W., and S. Foerster., 1994. Finite sample properties of the generalized method of moments in tests of conditional asset pricing models, Journal of Financial Economics 36, 29-55.
    • (1994) Journal of Financial Economics , vol.36 , pp. 29-55
    • Ferson, W.1    Foerster, S.2
  • 15
    • 21844505511 scopus 로고
    • Economic forces, fundamental variables, and equity returns
    • He, J., and L. Ng., 1994. Economic forces, fundamental variables, and equity returns, Journal of Business 67, 599-639.
    • (1994) Journal of Business , vol.67 , pp. 599-639
    • He, J.1    Ng, L.2
  • 16
    • 84993913139 scopus 로고
    • The errors in variables problem in the cross-section of expected returns
    • Kim, D., 1995. The errors in variables problem in the cross-section of expected returns, Journal of Finance 50, 1605-1634.
    • (1995) Journal of Finance , vol.50 , pp. 1605-1634
    • Kim, D.1
  • 17
    • 84993888629 scopus 로고
    • Another look at the cross-section of expected stock returns
    • Kothari, S., J. Shanken., and R. Sloan., 1995. Another look at the cross-section of expected stock returns, Journal of Finance 50, 185-224.
    • (1995) Journal of Finance , vol.50 , pp. 185-224
    • Kothari, S.1    Shanken, J.2    Sloan, R.3
  • 18
    • 84977715008 scopus 로고
    • Using generalized method of moments to test mean-variance efficiency
    • MacKinlay, A., and M. Richardson., 1991. Using generalized method of moments to test mean-variance efficiency, Journal of Finance 46, 511-527.
    • (1991) Journal of Finance , vol.46 , pp. 511-527
    • MacKinlay, A.1    Richardson, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.