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Tag Archives: Fama-MacBeth
Fama-MacBeth two-step regression method: the case of K risk factors
Fama-MacBeth two-step regression method: the case of K risk factors In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth two-step regression method used to test asset pricing models in the case of … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, CAPM, Econometrics, Fama-MacBeth, Quantitative analysis
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Fama-MacBeth regression method: the stock approach vs the portfolio approach
Fama-MacBeth regression method: the stock approach vs the portfolio approach In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth regression method used to test asset pricing models and addresses the difference when … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, CAPM, Econometrics, Fama-MacBeth, Quantitative analysis
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Fama-MacBeth regression method: Analysis of the market factor
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth two-step regression method used to test asset pricing models. The seminal paper by Fama and MacBeth (1973) was based on an investigation of … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, CAPM, Econometrics, Fama-MacBeth, Quantitative analysis
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Fama-MacBeth two-step regression method
In this article, Youssef Louraoui (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth two-step regression method used to test asset pricing models. This article is structured as follow: we introduce the Fama-MacBeth testing method. Then, we … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, CAPM, Econometrics, Fama-MacBeth, Quantitative analysis
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