10 votes

Fama Mac-Beth (1973) vs Fixed effect

A more apples to apples comparison would be between (i) Fama-Macbeth procedure and (2) clustering standard-errors by date. Adding fixed-effects is somewhat different. Problem: cross-sectional ...
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  • 6,354
5 votes
Accepted

How much is considered as a fat tail for a ratio variable based on kurtosis?

It probably does not have a mean or a variance. Ratio variables often don't. As these are accounting ratios, there are several candidate distributions and their ratios wouldn't have a first moment. ...
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  • 4,105
2 votes
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R-squared increase dramatically when including "time dummy" (STATA)

It means that about 25 percent of your within firm variation (i.e. the variation of a firm over time) is explained by your time-series dummies i.obs which pickup ...
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  • 6,354
2 votes

How to run Fama-French four-factor model cross-country panel analysis?

I think a useful paper would be Rapach et al. (2013), International Stock Return Predictability what is the role of the united states? They detail cross country differences in a lot of detail and tell ...
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  • 459
2 votes

Lagged dependent variable, yes or no?

Excluding an autoregressive term from a regression (a regular univariate time series regression or as in your case a static panel data regression) is not an omitted variables problem. For the ...
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  • 21
1 vote
Accepted

How to set up the industry-level variables in an international study based on North America data?

Generally, you need a industry classification scheme to identify each company's industry. For U.S. and Canadian firms, SIC are a reasonable choice, since they are broadly available. For example, you ...
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  • 206
1 vote

What estimation method is best to conduct event study on unconventional monetary policy

As part of your analysis, it is always a good idea to do something simple before pulling out the big guns. So, OLS by country with perhaps a handful of controls would be a good benchmark, if only to ...
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  • 2,366
1 vote

How to run Fama-French four-factor model cross-country panel analysis?

What you try to do is not clear. If you want to reimplement FF factors on a custom universe, you can do it (but paying attention to timezones to not include future information in your data). But be ...
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  • 10.6k
1 vote

Panel data - Use fixed effect or random effect in predicting stock returns

I am actually unsure of your question. Both the fixed effects and random effect models will depend on the assumptions that you make. To keep it simple, in the Fixed effects model: all the individual ...
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  • 459

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