Do the Fama–French Factors Proxy for Innovations in Predictive Variables?

By Ralitsa Petkova. 2005

687 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/f69e369e549cce7b55ff1949921628949c21b38e

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Citations in the corpus

Accruals Quality, Information Risk and Cost of Capital: Evidence from Australia (2009, methodology): “For example, in testing the CAPM (Fama and MacBeth, 1973), the conditional CAPM (Brennan et al., 2004; and Petkova, 2006), and the two-beta model (Campbell and Vuolteenaho, 2004) 13 We sincerely thank Michael O’Brien for supplying these SIZE/BM portfolio returns.”
When Does Information Asymmetry Affect the Cost of Capital (2011, methodology): “This three-factor model of expected returns is widely used in the literature in both finance and accounting (e.g., Pastor and Stambaugh, 2003; Aboody, Hughes, and Liu 2005; Francis et al., 2005; Petkova, 2006).”
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, positive): “Petkova (2006) uses as test assets the 25 portfolios sorted by size and book/market that are used by Fama and French (1993).”
Conditional conservatism and cost of capital (2011, methodology): “competing asset pricing models ( Petkova 2006 ).”
A Skeptical Appraisal of Asset Pricing Tests (2010, neutral): “The main issue is that, because the covariance matrix of returns must be estimated, the exact finitesample properties of GLS are generally unknown and the asymptotic properties of textbook econometrics can be a poor approximation, especially when the number of assets is large relative to the length ”
Investor Sentiment and the Stock Market’s Reaction to Monetary Policy (2010, positive): “Petkova (2006) and Hahn and Lee (2006) show that changes in default spread and term spread are important state variables that capture information contained in the Fama-French factors.”
Multifactor models and their consistency with the ICAPM (2012, neutral): “The multifactor models are Hahn and Lee (2006) (HL), Petkova (2006) (P), Campbell and Vuolteenaho (2004) (CV), Koijen, Lustig, and Van Nieuwerburgh (2010) (KLVN), Fama and French (1993) (FF3), Carhart (1997) (C), Pástor and Stambaugh (2003) (PS), and the Fama and French (1993) five-factor model…”
Tail risk premia and return predictability (2014, background): “The SMB portfolio has previously been associated with variables that describe changes in the investment opportunity set (e.g., Petkova, 2006).”
Average Idiosyncratic Volatility in G7 Countries (2004, result): “Recent authors, e.g., Campbell and Vuolteenaho (2004) Brennan, Wang, and Xia (2004), and Petkova (2006), argue that the shock to investment opportunities is also an important 19 factor model is consistent with existing economic theory and empirical evidence.”
Is Value Riskier than Growth (2005, background): “Therefore, it is necessary to consider other possible drivers of the value anomaly, both APT- or ICAPM-related risk (see, e.g., Fama and French, 1993, 1996; Liew and Vassalou, 2000; Petkova, 2005) and overreaction-related mispricing (see, e.”
Modeling systemic risk with Markov Switching Graphical SUR models (2019, positive): “Following Petkova (2006), the innovations ηt are orthogonalized relative to the excess return on the aggregate wealth and scaled to have the same variance.”