The Fama-macbeth Approach Revisited
نویسنده
چکیده
منابع مشابه
Replication Section Introduction
The Fama-MacBeth [1] cross-sectional regression technique is a mainstay of empirical finance. Yet researchers and practitioners are forced to reinvent the wheel when implementing this method because the original data and code are not available. Some might think, “Fama and MacBeth’s description of what they did is clear enough and it’s easy to program this method.” Yet, anyone who possesses even...
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