Asset pricing; Cross-sectional regression; Fama-MacBeth; Three-Factor model
Abstract :
[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.
Research center :
Chaire KBL CREPP - Centre de Recherche en Économie Publique et de la Population - ULiège
Disciplines :
Finance
Author, co-author :
Cavenaile, Laurent ; 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
Language :
English
Title :
Unexpected Correlations in Fama-MacBeth Methodology Outcomes
