Construct · 1 fields · 1 citations

Fama-MacBeth regression: a standalone construct

One name. One construct. A landmark on the map.

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Fama-MacBethregression1 CONSTRUCTFama-MacBeth regressionFAMA · ASSET PRICING

A single standalone construct; nearby constructs are located against it in the Collider. Tap a field for its definition, unit, and measures.

Asset pricing

two-step method that runs cross-sectional return regressions each period and averages the slopes over time to test whether risk factors are priced.

In asset pricing, Fama-MacBeth regression refers to two-step method that runs cross-sectional return regressions each period and averages the slopes over time to test whether risk factors are priced. This meaning comes from Fama (1973) in Journal of Political Economy.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructsperiod1 fields · 1 citationsanchor · a standalone constructregression4 fields · 5 citationsjingle · one word, four constructs

References

  1. Fama, E. F., & MacBeth, J. D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607-636. https://doi.org/10.1086/260061

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