I'm a business student and currently writing my thesis on comparing asset pricing models on industry portfolio returns. Being a business student, I lack the knowledge for statistical analysis ; so I was wondering if anyone could kindly tell me what I'm suppose to be comparing and looking for? I wrote that I would be using OLS regressions in my research proposal, but i'm seeing a lot of other regressions, for example, Fama-Macbeth.

Can anyone suggest on how I would go about on this topic? Thanks.

  • $\begingroup$ This is very broad and I’m not sure which four models you mean. What does your advisor say? $\endgroup$ – Bob Jansen Mar 18 '19 at 11:05
  • $\begingroup$ Hi, I am testing CAPM, FAMA 3, FAMA Carhart 4, and 5. He said running OLS regressions are "okay". I'm the only business student in my thesis group, rest are doing econometrics, business economics, and economics. He assumed all of us would have the background knowledge for this, but when I'm reading the papers, I simply don't understand what I should be comparing. $\endgroup$ – Dave Fran Mar 18 '19 at 11:15
  • $\begingroup$ That's important information you should put into the question. You should look around on this site for more about Fama-MacBeth and Wikipedia so your question can be narrowed down. $\endgroup$ – Bob Jansen Mar 18 '19 at 11:19
  • $\begingroup$ Noted, I'm looking at other posts right now. Thanks. $\endgroup$ – Dave Fran Mar 18 '19 at 11:21
  • $\begingroup$ Gooud luck and don't hesitate to ask! $\endgroup$ – Bob Jansen Mar 18 '19 at 12:10