Search found 1 match
- Mon Oct 16, 2017 3:59 pm
- Forum: Econometric Discussions
- Topic: Fama Macbeth Regression and Dummy Variable
- Replies: 0
- Views: 1897
Fama Macbeth Regression and Dummy Variable
I am reading a paper entitled "investor sentiment and the max effect" by Fong and Toh (2014) published in Journal of Banking and Finance. The authors used Fama Macbeth regression (page 198-199, Table 10 of their paper) and it seems they used sentiment as a dummy variable, BW sentiment inde...