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APPLICABILITY OF THE FAMA-FRENCH THREE-FACTOR MODEL IN FORECASTING PORTFOLIO RETURNS

โœ Scribed by Ou Hu


Book ID
111215535
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
104 KB
Volume
30
Category
Article
ISSN
0270-2592

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The performance of heteroskedasticity an
โœ Surajit Ray; N. E. Savin ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 147 KB ๐Ÿ‘ 1 views

## Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Famaโ€“French t