Fama-MacBeth regression for four-factor model
Posted: Mon Feb 24, 2014 5:18 pm
Hello,
I am a beginner user with EViews and I would appreciate your help with Fama-MacBeth regression for Fama & French four-factor model.
1. First I would like to run the basic time-series regression for portfolio's return on the factors (25 european portfolios formed on size & BE/ME and size & momentum) which I can get from French website. By doing this I naturally want to see how these portfolio returns are affected by each factor (factor loadings/betas).
2. Second, I want to calculate the premium rewarded for each factor by doing a cross-sectional regression.
Is anyone familiar with this method with EViews? I couldn't find any tutorial video from internet.
Thanks a lot!
I am a beginner user with EViews and I would appreciate your help with Fama-MacBeth regression for Fama & French four-factor model.
1. First I would like to run the basic time-series regression for portfolio's return on the factors (25 european portfolios formed on size & BE/ME and size & momentum) which I can get from French website. By doing this I naturally want to see how these portfolio returns are affected by each factor (factor loadings/betas).
2. Second, I want to calculate the premium rewarded for each factor by doing a cross-sectional regression.
Is anyone familiar with this method with EViews? I couldn't find any tutorial video from internet.
Thanks a lot!