Are the Fama–French factors good proxies for latent risk factors? Evidence from the data of SHSE in China

Jianhao Lin, Meijin Wang and Lingfeng Cai

Economics Letters, 2012, vol. 116, issue 2, 265-268

Abstract: This paper applies the new procedure developed by Bai and Ng (2006a) to explore the relation between the Fama–French factors and the latent risk factors in China’s stock market. The results show that the Fama–French factors are good proxies for risk factors of portfolios. For individual stock, only the Market factor is appropriate to proxy risk factors, while the other proxies we consider are not.

Keywords: Fama–French factors; Latent risk factors; Proxies; Principal components (search for similar items in EconPapers)
JEL-codes: C5 G1 G2 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:2:p:265-268

DOI: 10.1016/j.econlet.2012.02.026

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