I read many papers on asset pricing and have some basic doubts regarding Fama French Time series regression:

  1. We have time series data, but still it is a simple OLS we run in FF model. Then why it is called Fama French time series regression?

  2. They have done nothing for autocorrelation problem. If this is so, then the results could be bias. Can we use AR, MA or ARMA model in addition with three factors which can help for autocorrelation problem?

Kindly help me. Thank You Priya

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    $\begingroup$ Well, do you think there is strong autocorrelation in return series? $\endgroup$ – skoestlmeier Oct 5 '19 at 10:23
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    $\begingroup$ I think it is called Fama–MacBeth regression, which is used by Fama French in their work also. en.wikipedia.org/wiki/Fama%E2%80%93MacBeth_regression "Note that Fama MacBeth regressions provide standard errors corrected only for cross-sectional correlation. The standard errors from this method do not correct for time-series autocorrelation. This is usually not a problem for stock trading since stocks have weak time-series autocorrelation..." $\endgroup$ – Alex C Oct 6 '19 at 1:04

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