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Applied Financial Economics Volume 14, 2004 - Issue 2
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Original Articles

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

Robert Faff Department of Accounting and Finance, Faculty of Business and Economics, Monash University, PO Box 11E, Victoria, 3800, Australia E-mail: [email protected]
Pages 83-92 | Published online: 21 Aug 2006

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Qi Shi & bin li. (2023) The evaluation and comparison of three benchmark asset pricing models with daily data: supplementary evidence. Asia-Pacific Journal of Accounting & Economics 30:2, pages 514-530.
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Tariro Makwasha, Jill Wright & Param Silvapulle. (2019) Panel data analysis of multi-factor capital asset pricing models. Applied Economics 51:60, pages 6459-6475.
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A. Verma, R. J. Buonocore & T. Di Matteo. (2019) A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. Quantitative Finance 19:6, pages 981-996.
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Shahrin Saaid Shaharuddin, Wee-Yeap Lau & Rubi Ahmad. (2017) Constructing Fama–French Factors from Style Indices: Evidence from the Islamic Equity Market. Emerging Markets Finance and Trade 53:7, pages 1563-1572.
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Md Akhtaruzzaman, Paul Docherty & Abul Shamsuddin. (2014) Interest rate, size and book-to-market effects in Australian financial firms. Applied Economics 46:25, pages 3005-3020.
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Jamie Alcock, Thomas Mollee & James Wood. (2011) Volatile earnings growth, the price of earnings and the Value premium. Quantitative Finance 11:6, pages 805-815.
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Robert B. Durand, Marta Simon & Alex Szimayer. (2009) Anger, sadness and bear markets. Applied Financial Economics 19:5, pages 357-369.
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Francisco Jareño. (2008) Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model. Applied Economics 40:24, pages 3159-3171.
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José L. B. Fernandes, Augusto Hasman & Juan Ignacio Peña. (2008) Risk premium: insights over the threshold. Applied Financial Economics 18:1, pages 41-59.
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Juan C. Matallin-Saez. (2007) Portfolio performance: factors or benchmarks?. Applied Financial Economics 17:14, pages 1167-1178.
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Claudio Morana & Andrea Beltratti. (2006) Structural breaks and common factors in the volatility of the Fama–French factor portfolios. Applied Financial Economics 16:14, pages 1059-1073.
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Robert B. DurandManapon LimkriangkraiGary Smith. (2016) Momentum in Australia—A Note. Australian Journal of Management 31:2, pages 355-364.
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Robert B. Durand, Manapon Limkriangkrai & Gary Smith. (2006) In America's thrall: the effects of the US market and US security characteristics on Australian stock returns. Accounting and Finance 46:4, pages 577-604.
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Muhammad Wajid Raza & Hassan Mohammad Mohsin. (2016) Portfolio Tilting: Hunt for Positive Alpha Through Style Tilts. SSRN Electronic Journal.
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Tariq H. Haque & Taiji Wang. (2013) The Liquidity Preferences of Mutual Funds in Different Volatility Conditions: Australian Evidence. SSRN Electronic Journal.
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Martin Wallmeier & Kathrin Tauscher. (2012) A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model. SSRN Electronic Journal.
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