论文标题
Fama-French多因素模型的时间不稳定：国际证据
Time Instability of the Fama-French Multifactor Models: An International Evidence
论文作者
论文摘要
本文使用FAMA和MACBETH（1973）基于滚动窗口方法的两步估算进行了Fama and French（1993; 2015）多因素模型的时变结构。特别是，我们采用了Kamstra和Shi（2024）提出的广泛的GRS统计数据来检查FF3和FF5模型中风险因素（或因子冗余）的有效性是否会随着时间的推移稳定，并研究投资组合分类的方式是否会影响风险因素有效性的时间稳定性。此外，我们检查即使我们按国家和地区使用不同的数据集时，是否也获得了相似的结果。首先，我们发现FF3和FF5模型中因素的有效性在所有国家 /地区都不稳定。其次，因素的有效性也受投资组合分类方式的影响。第三，除日本外，FF3，FF5及其嵌套模型的有效性随着时间的流逝而保持稳定。这表明日本股票市场支持有效的市场假设。最后，因子冗余而有所不同，并且受投资组合主要在美国和欧洲进行分类的方式影响。
This paper investigates the time-varying structure of Fama and French's (1993; 2015) multi-factor models using Fama and MacBeth's (1973) two-step estimation based on the rolling window method. In particular, we employ the generalized GRS statistics proposed by Kamstra and Shi (2024) to examine whether the validity of the risk factors (or factor redundancy) in the FF3 and FF5 models remains stable over time, and investigate whether the manner of portfolio sorting affects the time stability of the validity of the risk factors. In addition, we examine whether the similar results are obtained even when we use different datasets by country and region. First, we find that the effectiveness of factors in the FF3 and FF5 models is not stable over time in all countries. Second, the effectiveness of factors is also affected by the manner of portfolio sorting. Third, the validity of the FF3, FF5, and their nested models do not remain stable over time except for Japan. This suggests that the efficient market hypothesis is supported in the Japanese stock market. Finally, the factor redundancy varies over time and is affected by the manner of portfolio sorting mainly in the U.S. and Europe.
