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Open Repository and Bibliography - University of Liège
Article . 2011
Full-Text: https://orbi.uliege.be/bitstream/2268/86898/1/Unexpected%20Correlations%20in%20Fama%20and%20MacBeth%20Methodology%20Outcomes%5b1%5d.pdf
Data sources: Open Repository and Bibliography - University of Liège
Claim

Unexpected Correlations in Fama-MacBeth Methodology Outcomes

descriptionPublicationkeyboard_double_arrow_right Article 01 Mar 2011 Belgium English
Authors: Cavenaile, Laurent; Dubois, David; Hlávka, Jaroslav;

handle: 2268/86898

Unexpected Correlations in Fama-MacBeth Methodology Outcomes

Abstract

This paper examines the Fama-MacBeth test of asset pricing models through its application to the Fama and French model. The Fama and French 25 sorted portfolios, 30 industrial portfolios and their combination have been used. The data of monthly observations span over the period 1963-2008. Fama-MacBeth results reject the validity of the Fama and French model, but the presence of unexpected correlation casts doubt on these results.

Country
Belgium
Related Organizations
Keywords

Business & economic sciences, Three-Factor model, Asset pricing, Sciences économiques & de gestion, Finance, Cross-sectional regression, Fama-MacBeth

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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