A Reexamination of Fama-French Regressions Using High Frequency Panels
نویسندگان
چکیده
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 stochastic volatilities that are persistent and have strong leverage effects. To estimate the model, we use samples collected at random intervals, instead of those sampled at fixed intervals such as monthly or yearly, which are set by the clock running inversely proportional to the market volatility. This Version: March, 2010 JEL Classification: C33, C12, C13
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