Reference : Unexpected Correlations in Fama-MacBeth Methodology Outcomes
Scientific journals : Article
Business & economic sciences : Finance
Unexpected Correlations in Fama-MacBeth Methodology Outcomes
Cavenaile, Laurent mailto [Université de Liège - ULiège > HEC-Ecole de gestion : UER > UER Finance et Droit >]
Dubois, David [Université de Liège - ULiège > HEC-Ecole de gestion : UER > Economie générale et gestion publique >]
Hlávka, Jaroslav [Charles University in Prague > > > >]
IUP Journal of Financial Economics
Yes (verified by ORBi)
[en] Asset pricing ; Cross-sectional regression ; Fama-MacBeth ; Three-Factor model
[en] 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.
Chaire KBL ; Centre de Recherche en Économie Publique et de la Population - C.R.E.P.P

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