The Time-Varying Coefficient Fama - French Five Factor Model: A Case Study in the Return of Japan Portfolios

• 발행기관: 한국유통과학회
• 저자명: Asama LIAMMUKDA Manad KHAMKONG Lampang SAENCHAN Napon HONGSAKULVASU
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.10, 513~521쪽, 전체 9쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.10.30

영문 초록

In this paper, we have developed a Fama - French five factor model (FF5 model) from Fama & French (2015) by using concept of timevarying coefficient. For a data set, we have used monthly data form Kenneth R. French home page, it include Japan portfolios (classified by using size and book-to-market) and 5 factors from July 1990 to April 2020. The first analysis, we used Augmented Dickey-Fuller test (ADF test) for the stationary test, from the result, all Japan portfolios and 5 factors are stationary. Next analysis, we estimated a coefficient of Fama - French five factor model by using a generalized additive model with a thin-plate spline to create the time-varying coefficient Fama - French five factor model (TV-FF5 model). The benefit of this study is TV-FF5 model which can capture a different effect at different times of 5 factors but the traditional FF5 model can’t do it. From the result, we can show a time-varying coefficient in all factors and in all portfolios, for time-varying coefficients of Rm-Rf, SMB, and HML are significant for all Japan portfolios, time-varying coefficients of RMW are positively significant for SM, and SH portfolio and time-varying coefficients of CMA are significant for SM, SH, and BM portfolio.

목차

1. Introduction

2. Statistical Theory and Literature Review

3. Research Methods and Materials

4. Results and Discussion

5. Conclusions

References

키워드

Nonparametric Regression Japanese Stock Exchange Time-Varying Coefficient Thin Plate Spline Fama – French Five Factor Model