请问用stata怎样实现fama French 模型计算超...

请问用stata怎样实现fama French 模型计算超额收益，ri,t  R B = β0 + β1 × Cashi,t + β2 × Excess control rightsi,t1 × Cashi,t i,t Mktcapi,t1 Mktcapi,t1
+ β3 × Excess control rightsi,t1 + γ ′ X + εi,t .
(1)
The dependent variable in equation (1) is the excess return of a firm’s inferior-
class stock over fiscal year t. Faulkender and Wang calculate excess returns by
subtracting the Fama–French size and book-to-market portfolio returns (RB ) i,t
from the raw returns of the inferior-class stock (ri,t). A potential problem with this approach is that a firm’s market-to-book ratio is endogenous, which could affect the interpretation of our results.7 Therefore, we alternatively compute excess returns by subtracting the value-weighted industry returns from the raw returns of the inferior-class stock, where industries are defined based on the Fama–French (1997) 48-industry classification (see the Appendix for defi- nitions of all variables).

分步回归

floydgyf 发表于 2015-5-20 09:17
分步回归

能否详细点，您指的是fama macbenth的回归法吗？

你这要计算单支股票还是一个portfolio啊？