Does the Fama and French Five-Factor Model Work Well in Japan?
Author:
Affiliation:
1. Graduate School of Strategic Management; Chuo University; Tokyo Japan
2. Graduate School of Business and Finance; Waseda University; Tokyo Japan
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/irfi.12126/fullpdf
Reference13 articles.
1. Common Risk Factors in the Returns on Stock and Bonds;Fama;Journal of Financial Economics,1993
2. A Five-Factor Asset Pricing Model;Fama;Journal of Financial Economics,2015
3. Risk, Return, and Equilibrium: Empirical Tests;Fama;Journal of Political Economy,1973
4. A Test of the Efficiency of a Given Portfolio;Gibbons;Econometrica,1989
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