A simple test of the Fama and French model using daily data: Australian evidence

By R. Faff. 2004

112 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f48abad2d72985e48b7dce772fe74492b6ea1a15

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Nick Bontis
2. Gerhard Kristandl
3. Tamer Shahwan
4. John Dumay
5. Linlin Cai

In Economics and Econometrics

1. Nick Bontis
2. Gerhard Kristandl

In Finance

1. Nick Bontis
2. Gerhard Kristandl
3. Tamer Shahwan
4. Linlin Cai
5. John Dumay

Citations in the corpus

• The impact of voluntary disclosure on cost of equity capital estimates in a temporal setting (2007, methodology): “However, lacking direct observability poses a problem for COEC computation in particular, where factor models such as CAPM and the three-factor model by Fama and French (1992) fail to capture risk components related to disclosure (Botosan, 1997; for a general critique, see Black, 1993; Faff, 2004).”