Search results

Hello everyone, I have applied Fama-Macbeth cross-sectional regression on Fama and French five-factor model (2014). On the left-hand side are the portfolio returns for sixteen size - B/M portfolios. On the right-hand-side are five the factors i.e. market, size, investment, and profitability...

Hello everyone, I am working on Fama and French five factor model. I have run regression on 16 size- B/M excess portfolio returns on market premium, size premium, value premium, invesment premium and profitability premium. I have obtained coefficients of these factors, their standard errors...