Are the Fama and French Factors Global or Country Specific
By John M. Griffin. 2002
631 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/30b4fa049c32b15229f84b5ab3f6adb884f340a5
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Liuren Wu
- Peter P. Carr
- Gurdip Bakshi
- Eugene F. Fama
- P. Kelly
- Alok Kumar
- Frank J Fabozzi 3
- Kuan-Hui Lee
In Finance
- Liuren Wu
- Peter P. Carr
- V. Todorov
- Eugene F. Fama
- Gurdip Bakshi
- Kenneth R. French
- Nusret Cakici
- Frank J Fabozzi 3
Citations in the corpus
- Size, value, and momentum in emerging market stock returns (2013, positive): “…knowledge, this 1 paper is the first to construct for the emerging markets; the B/M and momentum explanatory factors as well as the double sorted left hand side portfolios similar to the papers focusing on US and developed markets (see for example Fama and French, 1993 and 2011, and Griffin, 2002).”
- The world price of liquidity risk (2011, positive): “Global SMB and HML are formed in a way introduced in Griffin (2002). Table 8 shows the estimated intercepts with t-values in parentheses from the above regression of each of the ten portfolios (p = 1, · · · , 10) formed based on the predicted beta k (k = 1, 2, 3, 4).”
- Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies (2008, positive): “To explain the global risk premium rate, we first compute an average across the three economies on each set of economic fundamentals to create a global fundamental (e.g., Fama and French, 1998; Griffin, 2002):”
- Who Are the Value and Growth Investors (2017, neutral): “Growth stocks can 3See for instance Asness, Moskowitz, and Pedersen (2013), Capaul, Rowley, and Sharpe (1993), Fame and French (1998, 2012), Griffin (2003), and Liew and Vassalou (2000).”
- International Real Estate Returns: A Multifactor, Multicountry Approach (2003, positive): “Building on the work of Ling and Naranjo (2002), it can be stated that a country distress factor proxied by a value-growth portfolio captures more, or at least a similar amount, of the time-series variation of real estate returns than does a specific country risk proxy for most countries.”
- Momentum and mean reversion across national equity markets (2006, background): “This is however consistent with the well-known stylized fact of home bias (French and Poterba, 1991) and the results of Griffin (2002) who finds that foreign factors are insignificant in explaining domestic returns.”
- Shareholders at the Gate? Institutional Investors and Cross-Border Mergers and Acquisitions (2010, neutral): “We estimate abnormal stock returns using as a benchmark model the two-factor international market model (Griffin (2002)).”
- Do Heterogeneous Beliefs Matter for Asset Pricing (2005, methodology): “…the empirical implications of fundamental factors on returns and volatility have primarily analyzed relatively long time horizons for estimation and use large cross-sectional samples of firms [see, for example, Chan, Karceski, and Lakonishok (1999), Fama and French (1993), and Griffin (2002)].”
- Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, neutral): “First, the literature is increasingly focusing on the factor specification in the global return-generating process (Fama and French (1998), Griffin (2002), and Hou, Karolyi, and Kho (2011)).”