fama macbeth regression

  1. F

    Fama-MacBeth methodology

    I am an undergraduate student and I really need your help with a problem, I just hope somebody will reply me soon enough so I can finish my work. My problem is about Fama-MacBeth methodology, that I don't really understand in all it's aspects. My teacher asked me to apply this methodology, but...
  2. S

    Fama-Macbeth cross-sectional regression interpretation

    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...
  3. D

    Fama Macbeth regression help

    Dear reader, We are stuck with performing a Fama Macbeth regression in STATA. The following sums up our steps, and where we got stuck. Please see the attachment for our dataset. When we import this in STATA and make sure that those are all numeric variables. Then we use the following...
  4. C

    How to do residual investigation using Fama-MacBeth regressions?

    Hello, everyone!! :) My research is in asset pricing, and I am regressing an independent variable (an anomaly to the CAPM) against a dependent variable (in this case, monthly returns for assets) using Fama-MacBeth (1973) implementation (explained below). - My ultimate goal is to assess...
  5. S

    Panel Data Analysis, Help Urgently Needed! Fixed & Random effects, Fama MacBeth etc.

    Hi, I have the following panel dataset: 11 years of annual data with a total of 250 observations. The panel is highly unbalanced, in the beginning years only few observations, while the last years make up the most of the observations. For instance, in year 1 I have only 6 observations, while...