作者qbreeze (good)
看板YZUfinGrad96
标题[讨论] fama macbeth
时间Thu Jun 26 21:29:09 2008
上网找的~大家参考:)
Fama-MacBeth regression就是Fama-Mabeth 1973年paper用的方法。
其主要步骤：
1. Time series regression of retruns on factors to get beta's
2. Cross-sectional regression of returns on betas to get risk premium, this
is done repeatedly for all the periods, thus you will get a time series of
cross sectional regression coefficient.
3. The final estimates are just the mean of the time series of the
cross-sectional estimates from step2, the standard deviation is just the time
series standard deviation of those estimates.
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