# Tagged Questions

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### Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?

There are many approaches to estimating fundamental factor equity models. I would like to focus on two traditional methods: The time-series regression approach of Fama and French. Factors are ...
2k views

### is beta of a portfolio always meaningful?

Consider the following strategies: a stat arb strategy with no overnight exposure, but significant market exposure intraday. a market timing model which is always long or short the market. etc is ...
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### Good criteria to sort state-space $\beta_{t}$ according to Kalman filter output

Let the usual state-space linear model (without constant term for the sake of simplicity): $y_{t}=\beta_{t} X_{t}+\epsilon_{t}$ If we use Gaussian Kalman filter to estimate $\beta_{t}$ we get $P_{t}$...
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### Proof of Hamada's Formula (Relationship between levered and unlevered beta)

Hamada's formula is presented as follows: $$\beta_{U}=\left[\frac{1}{1+\frac{D}{E}(1-\tau)}\right]\beta_{L},$$ where $\beta_{U}$ and $\beta_{L}$ are the unlevered and levered beta's of a firm ...
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### How does Yahoo finance calculate Beta?

I am trying to replicate the beta value that yahoo calculates but I am getting different results. According to Yahoo, its beta is calculated using 5 year returns against the SP500: yahoo beta I ...