Abstract
This article thinks that SMB and HML of the Fama & French Three-factor Model are non-systematic risk factors in the micro level. And in this paper, fixed DVI was adopted to calculate the fixed portfolio price index, form the Fama & French Three-factor Model and test the statistical significance of SMB and HML from different portfolios. Come to conclusions that SMB and HML are significant non-systematic risk factors only in part of portfolios and so on.
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References
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Lu, X., Zheng, T., Lu, Q. (2011). The Study in Characteristics of SMB and HML’s Non-system Risk Factors in the Fama and French Three-Factor Model. In: **, D., Lin, S. (eds) Advances in Computer Science, Intelligent System and Environment. Advances in Intelligent and Soft Computing, vol 106. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-23753-9_75
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DOI: https://doi.org/10.1007/978-3-642-23753-9_75
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-23752-2
Online ISBN: 978-3-642-23753-9
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