关于Fama-Macbeth（1973）回归的详细资料

同问

我认为九楼是正解

深奥呀

刚查到有篇论文对这个有详细的解释，大家可以看看

thx~

Fama-Macbeth approach is an innovative two-stage approach meant to minimize within-portfolio variance while capturing the across-portfolio characteristics.

Their 1973 paper is not a landmark in terms of econometric modelling, but the approach is nice. Their approach is meant to test Capital Asset Pricing Model (CAPM).

Suppose there are 1,000 stocks with returns data over 100 months. We also have the market portfolio returns over 100 months. We want to test whether CAPM holds or not for this sample.

Stage 1 analysis: Portfolio formation

1. Starting, let's say, month 25, we compute the pre-ranking betas for each stock, by regressing the previous 24 month stock returns on the market returns.
2. Each month we rank all stocks as per their betas.
3. Classify all these 1,000 stocks into, say, 10 portfolios
4. Now we have 10 portfolios over 76 months (months 25 through 100)
(The idea of portfolio formation is to minimize within-portfolio variation in betas).

Stage 2 analysis: Cross-sectional tests
1. For each portfolio, we carry out full-period regression of portfolio returns on market returns (10 regressions, each over 76 months).
2. Thus we get 10 post-ranking betas, one for each portfolio.
3. For each of the 76 months, we regress the portfolio returns on the post-ranking betas (76 regressions, each over 10 observations).
4. We collect the time series of all these regression slopes.
5. The essential test is whether time-series average slope = 0

ydljnu 发表于 2011-11-16 14:30
Fama-MacBeth regression就是Fama-Mabeth 1973年paper用的方法。
其主要步骤：
1. Time series regressi ...

请教下第1步回归如果得到的beta不显著 还需要继续进行第2步吗？

这个学习一下的要

Thank you so much.

图片的实际顺序是按照文件名 1、2、3、4、5、6来的，长传后乱序了 ==

先时间序列回归；后截面数据检验吧 == 下面文档，目前看到的说得最清楚的了； Fama MacBeth(1973)原文感觉都没它清楚 ==lecture 5是北大的讲义，用SAS编程实现FM回归。