Criando fama

The Fama-macbeth Approach Revisited

A Reexamination of Fama-French Regressions Using High Frequency Panels

This paper develops a new framework and tools, and reexamines Fama-French regressions. For Fama-French portfolios, we consider a continuous-time factor model with a specific error component structure implied by the underlying asset pricing theory. The model is then analyzed as a continuous-time multivariate regression with a general martingale differential error, allowing for time-varying and s...

Expected Returns and Volatility of Fama-French Factors

In this paper, I show that the variance of Fama-French factors, the variance of the momentum factor, as well as the correlation between these factors, predict an important fraction of the timeseries variation in post-1990 aggregate stock market returns. This predictability is particularly strong from one month to one year, and it dominates that afforded by the variance risk premium and other po...

What Fama and French’s Latest Research Doesn’t Tell Us

The duo of Fama and French is most famous for their 1992 and 1993 papers documenting strong historical value and size effects. (Fama is also famous – or infamous, depending on your perspective – for his association with the efficient market hypothesis.) The core observation of Fama and French’s seminal papers was that the returns on small-company and value stocks – those with high book-to-marke...

Floor Acquisition Multiple Access (FAMA) in Single-Channel Wireless Networks

The FAMA-NCS protocol is introduced for wireless LANs and ad-hoc networks that are based on a single channel and asynchronous transmissions (i.e., no time slotting). FAMA-NCS (for floor acquisition multiple access with non-persistent carrier sensing) guarantees that a single sender is able to send data packets free of collisions to a given receiver at any given time. FAMA-NCS is based on a thre...