Finance - Research Publications
Permanent URI for this collection
Search Results
1 - 4 of 4
-
ItemAnalysts’ recommendation changes or disagreements with market consensus: from which signal does the market take its lead?(European Financial Management Association, 2007)
-
ItemThe relation between R&D intensity and future market returns: Does expensing versus capitalization matter?(Springer Science and Business Media LLC, 2007-07-01)
-
ItemAre the Fama-French factors proxying default risk?(UNIV NEW SOUTH WALES, AUSTR GRAD SCH MANAGEMENT, 2007-12-01)In this paper we investigate the contention that the Fama-French (1993) model's ability to explain cross-sectional variation in equity returns occurs because the Fama-French factors, SMB and HML, are proxying for default risk. To assess the default risk hypothesis, we augment the CAPM and the Fama-French model with a default factor and run system regressions of the default enhanced models using the GMM approach. Our key findings are that: 1) default risk is not priced in equity returns; and, 2) the Fama-French factors are not proxying for default risk. Although our findings suggest that SMB and HML are not proxying for default risk, our analysis indicates that the Fama-French factors are capturing some form of priced risk However, what type of risk the Fama-French factors are capturing remains an open question.
-
Item