1
$\begingroup$

I'm new here and hope you can help me with three questions I'm having in regard to the FamaMcBeth regression methodology.

  1. What is the advantage of using firm specific returns instead of an aggregate market return (like Goyal and Welch, 2008)?
  2. How should I interpret the lambdas produced in the second step?
  3. I read the lambdas should be standardised why is that?

Many thanks in advance!

Robey

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.