TY  - RPRT
AU  - Allen, David E.
AU  - McAleer, Michael
PY  - 2019
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17456
AB  - This paper features a statistical analysis of the monthly three factor Fama/French return series. We apply rolling OLS regressions to explore the relationship between the 3 factors, using monthly and weekly data from July 1926 to June 2018, that are...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Fama-French Factors
KW  - Correct specification
KW  - Ramsey's RESET
KW  - Hausman tests
KW  - Endogeneity
KW  - Consistent standard errors.
TI  - Drawbacks in the 3-factor approach of Fama and French
TY  - technical report
VL  - 2019
ER  -