{"id":"https://openalex.org/W2009685583","doi":"https://doi.org/10.1080/0960310042000176353","title":"A simple test of the Fama and French model using daily data: Australian evidence","display_name":"A simple test of the Fama and French model using daily data: Australian evidence","publication_year":2004,"publication_date":"2004-01-15","ids":{"openalex":"https://openalex.org/W2009685583","doi":"https://doi.org/10.1080/0960310042000176353","mag":"2009685583"},"language":"en","primary_location":{"id":"doi:10.1080/0960310042000176353","doi":"https://doi.org/10.1080/0960310042000176353","is_oa":false,"landing_page_url":"https://doi.org/10.1080/0960310042000176353","pdf_url":null,"source":{"id":"https://openalex.org/S35128040","display_name":"Applied Financial Economics","issn_l":"0960-3107","issn":["0960-3107","1466-4305"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1"],"host_organization":"https://openalex.org/P4310321043","host_organization_name":"Chapman and Hall London","host_organization_lineage":["https://openalex.org/P4310321043","https://openalex.org/P4310320584"],"host_organization_lineage_names":["Chapman and Hall London","CRC Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Financial Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5066686727","display_name":"Robert W. Faff","orcid":"https://orcid.org/0000-0001-6867-9599","observed_orcids":["https://orcid.org/0000-0001-6867-9599"]},"institutions":[{"id":"https://openalex.org/I56590836","display_name":"Monash University","ror":"https://ror.org/02bfwt286","country_code":"AU","type":"education","lineage":["https://openalex.org/I56590836"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Robert Faff","raw_affiliation_strings":["Department of Accounting and Finance, Faculty of Business and Economics, Monash University, PO Box 11E, Victoria, 3800, Australia E-mail: robert.faff@buseco.monash.edu.au"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Accounting and Finance, Faculty of Business and Economics, Monash University, PO Box 11E, Victoria, 3800, Australia E-mail: robert.faff@buseco.monash.edu.au","institution_ids":["https://openalex.org/I56590836"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5066686727"],"corresponding_institution_ids":["https://openalex.org/I56590836"],"apc_list":null,"apc_paid":null,"fwci":5.6793,"has_fulltext":false,"cited_by_count":94,"citation_normalized_percentile":{"value":0.95587464,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":93,"max":99},"biblio":{"volume":"14","issue":"2","first_page":"83","last_page":"92"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/fama-french-three-factor-model","display_name":"Fama-French three-factor model","score":0.9980000257492065},{"id":"https://openalex.org/keywords/asset-pricing-tests","display_name":"asset pricing tests","score":0.7960000038146973},{"id":"https://openalex.org/keywords/size-premium","display_name":"size premium","score":0.7710000276565552},{"id":"https://openalex.org/keywords/value-premium","display_name":"value premium","score":0.8450000286102295},{"id":"https://openalex.org/keywords/book-to-market-ratio","display_name":"book-to-market ratio","score":0.7289999723434448},{"id":"https://openalex.org/keywords/risk-premium","display_name":"risk premium","score":0.800000011920929},{"id":"https://openalex.org/keywords/daily-stock-returns","display_name":"daily stock returns","score":0.7960000038146973},{"id":"https://openalex.org/keywords/australian-stock-market","display_name":"Australian stock market","score":0.9459999799728394}],"concepts":[{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.7571743726730347},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7193169593811035},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.6245741844177246},{"id":"https://openalex.org/C166052673","wikidata":"https://www.wikidata.org/wiki/Q83021","display_name":"Empirical evidence","level":2,"score":0.5790703296661377},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5786164999008179},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5768758058547974},{"id":"https://openalex.org/C2780586882","wikidata":"https://www.wikidata.org/wiki/Q7520643","display_name":"Simple (philosophy)","level":2,"score":0.5282106995582581},{"id":"https://openalex.org/C2986394398","wikidata":"https://www.wikidata.org/wiki/Q1805477","display_name":"Long memory","level":3,"score":0.505997359752655},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4589439928531647},{"id":"https://openalex.org/C2777267654","wikidata":"https://www.wikidata.org/wiki/Q3519023","display_name":"Test (biology)","level":2,"score":0.451604962348938},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.1035299301147461},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/0960310042000176353","doi":"https://doi.org/10.1080/0960310042000176353","is_oa":false,"landing_page_url":"https://doi.org/10.1080/0960310042000176353","pdf_url":null,"source":{"id":"https://openalex.org/S35128040","display_name":"Applied Financial Economics","issn_l":"0960-3107","issn":["0960-3107","1466-4305"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1"],"host_organization":"https://openalex.org/P4310321043","host_organization_name":"Chapman and Hall London","host_organization_lineage":["https://openalex.org/P4310321043","https://openalex.org/P4310320584"],"host_organization_lineage_names":["Chapman and Hall London","CRC Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Financial Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:apfiec:v:14:y:2004:i:2:p:83-92","doi":null,"is_oa":false,"landing_page_url":"http://www.tandfonline.com/doi/abs/10.1080/0960310042000176353","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":42,"referenced_works":["https://openalex.org/W23548252","https://openalex.org/W595301350","https://openalex.org/W1543816194","https://openalex.org/W1964661235","https://openalex.org/W1969286214","https://openalex.org/W1989652734","https://openalex.org/W1992143603","https://openalex.org/W1995136661","https://openalex.org/W1995834279","https://openalex.org/W2002188111","https://openalex.org/W2003743124","https://openalex.org/W2004176477","https://openalex.org/W2033277055","https://openalex.org/W2046173020","https://openalex.org/W2068016300","https://openalex.org/W2070399597","https://openalex.org/W2078599928","https://openalex.org/W2081230882","https://openalex.org/W2082643892","https://openalex.org/W2095472490","https://openalex.org/W2096226179","https://openalex.org/W2096865524","https://openalex.org/W2102737858","https://openalex.org/W2110787586","https://openalex.org/W2111730646","https://openalex.org/W2113305199","https://openalex.org/W2120972767","https://openalex.org/W2128043116","https://openalex.org/W2141452679","https://openalex.org/W2149170345","https://openalex.org/W2159297510","https://openalex.org/W2166215547","https://openalex.org/W2168657144","https://openalex.org/W2170415678","https://openalex.org/W2174692903","https://openalex.org/W2210576889","https://openalex.org/W3023230189","https://openalex.org/W3122118888","https://openalex.org/W3122311863","https://openalex.org/W4238817359","https://openalex.org/W4252519795","https://openalex.org/W4383905229"],"related_works":["https://openalex.org/W3121841747","https://openalex.org/W2019357829","https://openalex.org/W3125201032","https://openalex.org/W2224427182","https://openalex.org/W1581159123","https://openalex.org/W2006159274","https://openalex.org/W3151698003","https://openalex.org/W2300758840","https://openalex.org/W4400018802","https://openalex.org/W2176361733"],"abstract_inverted_index":{"The":[0],"current":[1],"study":[2],"contributes":[3],"to":[4,29],"the":[5,11,23,30,40,48,51],"empirical":[6],"literature":[7],"aimed":[8],"at":[9],"testing":[10],"Fama":[12],"and":[13],"French":[14],"three-factor":[15],"model,":[16],"using":[17],"daily":[18],"Australian":[19],"data.":[20],"In":[21,57],"general,":[22],"evidence":[24],"found":[25],"is":[26,54,63],"quite":[27],"favourable":[28],"model":[31,53],"based":[32],"on":[33],"formal":[34],"asset":[35],"pricing":[36],"tests.":[37],"However,":[38],"when":[39],"estimated":[41],"risk":[42],"premia":[43],"are":[44],"taken":[45],"into":[46],"account,":[47],"support":[49],"for":[50],"Fama-French":[52],"less":[55],"persuasive.":[56],"particular,":[58],"a":[59,67],"negative":[60],"size":[61],"premium":[62],"uncovered":[64],"consistent":[65],"with":[66],"wave":[68],"of":[69],"recent":[70,77],"findings":[71],"questioning":[72],"its":[73],"continued":[74],"existence":[75],"over":[76],"years.":[78]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":6},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":9},{"year":2013,"cited_by_count":8},{"year":2012,"cited_by_count":6}],"updated_date":"2026-11-03T10:50:19.383937","created_date":"2016-06-24T00:00:00"}
