Investigating linear multi-factor models in asset pricing: considerable supplemental evidence*
The literature has offered an interesting debate about whether the performance of Fama-French’s three-factor benchmark model is inadequate because it fails to pass some model specification tests and its R2 is not convincingly high in cross-sectional estimations. Previous studies have been quite limi...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
2018
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| Online Access: | http://hdl.handle.net/20.500.11937/72674 |