DRAWBACKS IN THE 3-FACTOR APPROACH OF FAMA AND FRENCH (2018)

نویسندگان

چکیده

This paper features a statistical analysis of the monthly three factor Fama/French return series. Rolling OLS regressions explore relationship between 3 factors, using data from July 1926 to June 2018, available on French’s website. The results suggest there are significant and time-varying relationships factors. A sub-sample 1990 2018 is used analyze series two-stage least squares Hausman test check for issues related endogeneity. empirical that when combined in regression analysis, as suggested by Fama French (2018), likely suffer Ramsey’s RESET tests nonlinear exists We use two instruments estimate market betas, compare them betas estimated not instruments. Non-parametric sets differences. these factors linear recommended [(2018). Choosing Journal Financial Economics, 128(2), 234–252] problematic coefficients highly sensitive correct model specification.

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ژورنال

عنوان ژورنال: Annals of Financial Economics

سال: 2021

ISSN: ['2010-4960', '2010-4952']

DOI: https://doi.org/10.1142/s2010495222400012