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- Fama–MacBeth_regression abstract "The Fama-MacBeth regression is a method used to estimate parameters for asset pricing models such as the Capital asset pricing model (CAPM). The method estimates the betas and risk premia for any risk factors that are expected to determine asset prices. The method works with multiple assets across time (panel data). The parameters are estimated in two steps: First regress each asset against the proposed risk factors to determine that asset's beta for that risk factor. Then regress all asset returns for a fixed time period against the estimated betas to determine the risk premium for each factor.Eugene F. Fama and James D. MacBeth (1973) demonstrated that the residuals of risk-return regressions and the observed \"fair game\" properties of the coefficients are consistent with an \"efficient capital market\" (quotes in the original).Note that Fama MacBeth regressions provide standard errors corrected only for cross-sectional correlation. The standard errors from this method do not correct for time-series autocorrelation. This is usually not a problem for stock trading since stocks have weak time-series autocorrelation in daily and weekly holding periods, but autocorrelation is stronger over long horizons. This means Fama MacBeth regressions may be inappropriate to use in many corporate finance settings where project holding periods tend to be long. For alternative methods of correcting standard errors for time series and cross-sectional correlation in the error term look into double clustering by firm and year.".
- Fama–MacBeth_regression wikiPageExternalLink glossary.cgi?action=++Search++&query=Fama-Macbeth+regression.
- Fama–MacBeth_regression wikiPageExternalLink fama-macbeth-and-cluster-robust-by-firm-and-time-standard-errors-in-r.
- Fama–MacBeth_regression wikiPageExternalLink se_programming.htm.
- Fama–MacBeth_regression wikiPageID "7735247".
- Fama–MacBeth_regression wikiPageLength "3376".
- Fama–MacBeth_regression wikiPageOutDegree "13".
- Fama–MacBeth_regression wikiPageRevisionID "675436847".
- Fama–MacBeth_regression wikiPageWikiLink Beta_(finance).
- Fama–MacBeth_regression wikiPageWikiLink Capital_asset_pricing_model.
- Fama–MacBeth_regression wikiPageWikiLink Category:Finance_theories.
- Fama–MacBeth_regression wikiPageWikiLink Eugene_Fama.
- Fama–MacBeth_regression wikiPageWikiLink Ordinary_least_squares.
- Fama–MacBeth_regression wikiPageWikiLink Panel_data.
- Fama–MacBeth_regression wikiPageWikiLink R_(programming_language).
- Fama–MacBeth_regression wikiPageWikiLink Risk_factor.
- Fama–MacBeth_regression wikiPageWikiLink Risk_premium.
- Fama–MacBeth_regression wikiPageWikiLink SAS_(software).
- Fama–MacBeth_regression wikiPageWikiLink Standard_error.
- Fama–MacBeth_regression wikiPageWikiLink Stata.
- Fama–MacBeth_regression wikiPageWikiLinkText "Fama–MacBeth regression".
- Fama–MacBeth_regression wikiPageUsesTemplate Template:Cite_web.
- Fama–MacBeth_regression wikiPageUsesTemplate Template:Econ-stub.
- Fama–MacBeth_regression wikiPageUsesTemplate Template:Reflist.
- Fama–MacBeth_regression subject Category:Finance_theories.
- Fama–MacBeth_regression hypernym Method.
- Fama–MacBeth_regression type Software.
- Fama–MacBeth_regression type Redirect.
- Fama–MacBeth_regression type Theory.
- Fama–MacBeth_regression comment "The Fama-MacBeth regression is a method used to estimate parameters for asset pricing models such as the Capital asset pricing model (CAPM). The method estimates the betas and risk premia for any risk factors that are expected to determine asset prices. The method works with multiple assets across time (panel data). The parameters are estimated in two steps: First regress each asset against the proposed risk factors to determine that asset's beta for that risk factor.".
- Fama–MacBeth_regression label "Fama–MacBeth regression".
- Fama–MacBeth_regression sameAs Q3932163.
- Fama–MacBeth_regression sameAs Regressione_Fama-MacBeth.
- Fama–MacBeth_regression sameAs ファーマ–マクベス回帰.
- Fama–MacBeth_regression sameAs m.026bbh1.
- Fama–MacBeth_regression sameAs Q3932163.
- Fama–MacBeth_regression wasDerivedFrom Fama–MacBeth_regression?oldid=675436847.
- Fama–MacBeth_regression isPrimaryTopicOf Fama–MacBeth_regression.