Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 2019 erstellt
Description:
A proxy factor model is proposed to circumvent the massive data demands of the Fama-French three-factor model. The proposed model uses a linear combination of publicly available indices as proxies for factors. 75 stocks listed on the TSX are then used as test assets to evaluate the model. The same test assets are also regressed on the Fama-French North American three-factor model and a comparison is made with the proxy model. Summary statistics are analyzed and results are shown to be in line with what is observable on the market. The proxy factor model methodology easily lends itself for use by practitioners since it does not require large data sets and is straightforward to implement