New answers tagged

1

With respect to size in the U.S., Fama and French calculate breakpoints from the NYSE sample only, but apply the breakpoints to the whole sample of NYSE, AMEX, and NASDAQ stocks. You can find this definition on Kenneth R. French's website here and here. The authors aim to mirror the NYSE breakpoints for all markets in order to keep it consistent (comparable)....


1

Setup Let $$Z_n\equiv \prod\limits_{i=1}^n(1+x_i)$$ where each $x_i$ is iid normally distributed as $x_i\sim \mathrm{N}\left(\tilde{\mu},\sigma\right)$. For simplicity, and with some abuse of notation, let $\mu = 1 + \tilde{\mu} $, i.e. $$Z_n\equiv \prod\limits_{i=1}^n(1+x_i)\sim\prod\limits_{i=1}^n(\mu + \sigma\varepsilon_i)$$ where each $\varepsilon_i$ is ...


Top 50 recent answers are included