Natale Muriana

2 Questions 3 Answers 0 Followers

Questions related from Natale Muriana

How to compute Fama - Macbeth (1973) two step regression?

Hi all, i'm trying to understand Fama - Macbeth two step regression. I have 10 portfolios and T=5 years. In the first step i compute 10 time series regressions and if i have 2 factors i get 20...

06 June 2019 8,656 3 View

Grs test statistics

Hi All, i'm testing the FF Three Factor model in the italian stock market. In my regressions i found that 3 out of 16 portfolios have alphas statistically different from 0 but at the same time...

01 January 1970 9,359 4 View