Timeline for Help understand how to perform Fama-Macbeth cross-sectional regression
Current License: CC BY-SA 4.0
3 events
| when toggle format | what | by | license | comment | |
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| Nov 13, 2024 at 18:25 | comment | added | Kevin | You do not average the beta. In each month, you use a different beta - the beta that you calculated from the last 12 months of daily returns. You end up with a time series of lambda coefficient. You then take the mean of the lambdas to get an estimate of the price of risk | |
| Nov 12, 2024 at 21:24 | history | edited | s5s | CC BY-SA 4.0 | added 242 characters in body |
| Nov 12, 2024 at 19:07 | history | asked | s5s | CC BY-SA 4.0 |