转Fama Macbeth,1973的一个很好地说明-经管之家官网！

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 monthsWe want to test whether CAPM holds or not for this sample.Stage 1 analysis: Portfolio formation1. Starting, let's say, month 25, we compute the pre-ranking betas for eachstock, by regressing the previous 24 month stock returns on the marketreturns.2. Each month we rank all stocks as per their betas.3. Classify all these 1,000 stocks into, say, 10 portfolios4. Now we have 10 portfolios over 76 months (months 25 through 100)(The idea of portfolio formation is to minimize within-portfolio variationin betas).Stage 2 analysis: Cross-sectional tests1. For each portfolio, we carry out full-period regression of portfolioreturns 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 thepost-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 = 0If no, then CAPM holds.If yes, CAPM doesn't hold and the betas have no explanatory power on stockreturns.