Drawbacks in the 3-factor approach of Fama and French
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More about this item
Keywords
Fama-French Factors; Correct specification; Ramsey's RESET; Hausman tests; Endogeneity; Consistent standard errors.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2019-03-25 (Financial Markets)
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