Show simple item record

dc.contributor.authorGharghori, P
dc.contributor.authorChan, H
dc.contributor.authorFaff, R
dc.date.available2014-05-21T20:57:34Z
dc.date.issued2007-12-01
dc.identifierhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000253850600004&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=d4d813f4571fa7d6246bdc0dfeca3a1c
dc.identifier.citationGharghori, P., Chan, H. & Faff, R. (2007). Are the Fama-French factors proxying default risk?. AUSTRALIAN JOURNAL OF MANAGEMENT, 32 (2), pp.223-249. https://doi.org/10.1177/031289620703200204.
dc.identifier.issn0312-8962
dc.identifier.urihttp://hdl.handle.net/11343/27937
dc.descriptionC1 - Refereed Journal Article
dc.description.abstractIn 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.
dc.languageEnglish
dc.publisherUNIV NEW SOUTH WALES, AUSTR GRAD SCH MANAGEMENT
dc.subjectBanking
dc.subjectFinance and Investment
dc.titleAre the Fama-French factors proxying default risk?
dc.typeJournal Article
dc.identifier.doi10.1177/031289620703200204
melbourne.peerreviewPeer Reviewed
melbourne.affiliationThe University of Melbourne
melbourne.affiliation.departmentFinance
melbourne.source.titleAustralian Journal of Management
melbourne.source.volume32
melbourne.source.issue2
melbourne.source.pages223-249
melbourne.publicationid88802
melbourne.elementsid295600
melbourne.contributor.authorChan, Howard
dc.identifier.eissn1327-2020
melbourne.accessrightsThis item is currently not available from this repository


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record