Global ETD Search
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Showing 1 to 4 of 4 for “"Fama-MacBeth regressions"”.
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The Application of the Genetic Algorithm in Promoting Stock Trading Performances
… profitable trading strategies through the Fama-MacBeth regressions. In addition, this study connects the literature on the regime switching with studies on the GA-based trading strategies to construct one regime-switching Genetic Algorithm (RSGA) model and makes a comparison between the …
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A Treatise on Downside Risk
… winners, and the inclusion of downside beta in Fama-Macbeth regressions subsumes the reversal effect.
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Two Essays on Asset Pricing
… variable (betas) and error terms in the Fama-MacBeth regressions of tests of the CAPM, thereby creating a downward bias in the estimated market risk premiums. The procedure of using portfolio returns and betas does not necessarily eliminate this bias. Depending upon the grouping variable …
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
… from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor …