Search found 2 matches
- Tue Feb 03, 2009 6:16 pm
- Forum: Estimation
- Topic: Three Factor Asset Pricing Model
- Replies: 2
- Views: 5788
Re: Three Factor Asset Pricing Model
You are correct, I made an error in specifying my model as the variables on the RHS do vary across time, such that: Rit = a +biMRPt + ciSMBt + diHMLt + eit I believe I would like to set up my test to allow for direct estimation of the mean premia for the four risk factors: MRPt = λ mrp,t + emrp,t SM...
- Tue Feb 03, 2009 5:21 pm
- Forum: Estimation
- Topic: Three Factor Asset Pricing Model
- Replies: 2
- Views: 5788
Three Factor Asset Pricing Model
I am trying to get my head around how I can perform a GMM regression to replicate Fama and French's three factor asset pricing model. I have 25 portfolios (ie 25 observations for Rit) and the model is specified as: Rit = ai + bi(MRP) + ciSMB + diHML + ei I want to run this model where there are 4N s...