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Characteristics, covariances, and structural breaks

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  • Chou, Pin-Huang
  • Ko, Kuan-Cheng

Abstract

By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is better explained by Fama-French's three-factor model.

Suggested Citation

  • Chou, Pin-Huang & Ko, Kuan-Cheng, 2008. "Characteristics, covariances, and structural breaks," Economics Letters, Elsevier, vol. 100(1), pages 31-34, July.
    • Handle: RePEc:eee:ecolet:v:100:y:2008:i:1:p:31-34
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    References listed on IDEAS

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