| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089590 | Journal of Banking & Finance | 2013 | 15 Pages |
Abstract
⺠A low-variance factor affects the properties of the Fama-MacBeth estimator. ⺠We use local-asymptotic analysis to approximate the finite sample properties. ⺠The zero-beta rate and risk premiums are very likely to be unreliably estimated. ⺠t- and F-statistics might fail to detect whether certain factors are priced. ⺠Kleibergen (2009)'s FAR statistic is recommended.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Hua Shang,