What Do the Fama-French Factors Add to C-CAPM?

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...

Diagnostic and therapeutic challenges for dermatologists: What shall we do when we don’t know what to do?

What shall we do when we have done everything we could for the diagnosis and treatment of a patient, but were not successful? What shall we do when there is no definite treatment for a patient? What shall we do when we have no diagnosis or treatment for a patient? Some useful suggestions are presented here to get rid of these situations.

Do We Know What We Do not Know? A Response to Celine Bonnet

Molecular approaches to diagnosis of invasive aspergillosis what we know and what we do not know.

Invasive aspergillosis (IA) are a major complication in immunocompromized patients where can be serious and rapidly fatal. Early diagnosis and early appropriate antifungal treatment is important in reducing mortality and morbidity. But despite many efforts to develop detection methods, the diagnosis of IA still remains challenging and current conventional methods are limited for adequate diagno...

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...