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I want to examine the predictive ability of volatility measures for returns prediction. One article used probit regression coefficient estimates to calculate Fama-Macbeth coefficient. I am so confused on this step. It would be great if someone explain to me the reason behind calculating Fama-Macbeth coefficient. Wouldn't be enough if I only run the probit regression without the Fama-Macbeth procedure?

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    $\begingroup$ Which article did you read? $\endgroup$ – Bob Jansen Mar 15 at 17:59

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