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Results tagged with factor-models
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user 39715
Econometric model that have the purpose to measure the effect of different risk measures on portfolio asset returns.
1
vote
1
answer
385
views
Alpha estimation from factor models
This question makes reference to section 8.4 - Application to performance measure - of the 2007 publication "Performance Measurement for Traditional Investment" by Véronique Le Sourd. You can find the …
- 137
10
votes
1
answer
12k
views
Rationale of Fama Macbeth procedure
I am confused about the rationale behind the Fama Macbeth regression methodology. I understand how to practically perform the two steps but not why one should do so.
For instance, considering the Fam …
- 137