926
Views
13
CrossRef citations to date
0
Altmetric
Original Articles

Feasibility of the Fama and French three factor model in explaining returns on the JSE

Pages 13-25 | Published online: 18 Feb 2015

REFERENCES

  • Acharya VV and Pedersen LH. 2005. Asset pricing with liquidity risk. Journal of Financial Economics, 77(2): 375–410.
  • Aretz K, Bartram SM and Pope PF. 2005. Macroeconomic risks and the Fama and French/Carhart Model. Working Paper
  • Banz R. 1981. The relation between return and market value of common stocks. Journal of Financial Economics, 9:3–18.
  • Basiewicz PG and Auret CJ. 2009. Another look at the cross-section of average returns on the JSE. Investment Analysts Journal, 69:23–38
  • Basu S. 1977. Investment performance of common stocks in relation to their price-earnings ratios: a test of efficient market hypothesis. Journal of Finance, 32: 663–682.
  • Basu S. 1983. The relationship between earnings' yields, market value and return for NYSE common stocks: further evidence. Journal of Financial Economics, 12: 129–156.
  • Brealey RA and Myers SC. 2000. Principles of corporate finance. 6th edition. Boston: McGraw Hill.
  • Brennan M, Chordia T and Subrahmanyam A. 1998. Alternative factor specifications, security characteristics and the cross-sections of expected stock returns. Journal of Financial Economics, 49: 345–373.
  • Chan KC, Hamao Y and Lakonishok Y. 1991. Fundamentals and stock returns in Japan. Journal of Finance, 46: 1739–1764.
  • Chan KC, Chen N and Hsieh D. 1985. An explanatory investigation of the firm size effect. Journal of Financial Economics, 14: 451–471.
  • Chen N, Roll R and Ross AR. 1986. Economic forces and the stock market. Journal of Business, 59(3): 383–403.
  • Cochrane JH. 2001. Asset pricing, Princeton New Jersey: Princeton University Press.
  • Connor G and Korajczyk R. 1988. Risk and return in an equilibrium APT: Application of a new test methodology. Journal of Financial Economics, 21: 255–290.
  • Davis JL, Fama E and French K. 2000. Characteristics, covariances and average returns. Journal of Finance, 55(1): 389–406.
  • Dimson E. 1979. Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics, 7:197–206.
  • Fama E and French K. 1992. The cross-section of expected stock returns. Journal of Finance, 47: 427–465.
  • Fama E and French K. 1993. Common risk factors in the returns of bonds and stocks. Journal of Financial Economics, 33: 3–56.
  • Fama E. 1996. Multifactor portfolio efficiency and multifactor asset pricing. Journal of Financial and Quantitative Analysis, 31(4): 441–465.
  • Fama E and French K. 1995. Size and book-to-market factors in earnings and returns. Journal of Finance, 50: 131–155.
  • Fama E and French K. 1996a. Multifactor explanations of asset pricing anomalies. Journal of Finance, 51: 55–84.
  • Fama E and MacBeth J. (1973). Risk, return and equilibrium: empirical tests, Journal of Political Economy, 81: 607–636.
  • Gibbons MR, Ross SA and Shanken J. 1989. A test of the efficiency of a given portfolio. Econometrica, 57: 1121–1152.
  • Greene WH. 2003. Econometric analysis (4th ed). Upper Saddle River New Jersey: Prentice-Hall
  • Ibbotson RG, Kaplan PD and Peterson JD. 1997. Estimates of small stock betas are much too low. Journal of Portfolio Management, 23: 104: 111.
  • Jegadeesh N. 1990. Evidence of predictable behaviour of security returns. Journal of Finance, 45: 881–898.
  • Jensen MC. 1968. The performance of mutual funds in the period 1945–1964, Journal of Finance, 23: 389–416.
  • Lo AW and MacKinlay AC. 1990. Data-snooping biases in the tests of financial asset pricing models. The Review of Financial Studies, 3: 431–467.
  • MacKinlay AC and Richardson MP. 1991. Using generalised method of moments to test mean-variance efficiency, Journal of Finance, 46: 511–527.
  • Merton RC. 1973. An intertemporal capital asset pricing model. Econometrica, 41: 867–887.
  • Merton RC. 1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42: 483–510.
  • Newey W and West K. 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55: 703–708.
  • Petkova P. 2005. Do the Fama-French factors proxy for innovations in predictive variables? Journal of Finance, 61: 581–612.
  • Rosenberg B, Reid K and Lanstein R. 1985. Persuasive evidence of market inefficiency. Journal of Portfolio Management, 11: 9–17.
  • Scher N and Muller C. 2005. Equity style and performance persistence in South African unit trusts. Investment Analysts Journal, 61: 5–16.
  • Stoll HR and Whaley RE. 1983. Transaction costs and the small firm effect. Journal of Financial Economics, 12(1): 57–79.
  • Van Rensburg P and Robertson M. 2003a. Style characteristics and the cross-section of JSE returns. Investment Analysts Journal, 57: 7–16.
  • Van Rensburg P and Robertson M. 2003b. Size, price-to-earnings and beta on the JSE Securities Exchange. Investment Analysts Journal, 58: 7–16.
  • Van Rensburg P and Robertson M. 2004. Explaining the cross-section of returns in South Africa: Attributes or factor loadings? Journal of Asset Management, 4: 334–347.
  • Van Rensburg P. 2005. Asset Pricing on the JSE, Cape Town: UCT University Press.
  • Van Rensburg P and Slaney KBE. 1997. Market segmentation on the Johannesburg Stock Exchange. Journal for Studies in Economics and Econometrics, 23(3): 1–23.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.