THE FAMA-MACBETH APPROACH REVISITED

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time, or for a specified sample period. In order to make this proposition empirically testable the authors describe the following stochastic model for returns: Assuming that the betas are known, equation [1] and [2] are generalized into: where S(i) represents the standard deviation of residual returns ε(i) for security i, for i = 1,…..,n.

  Model, Periods, Macbeth, Amfa, Fama macbeth