User:QRho/Fama-MacBeth regression/Bibliography
Bibliography[edit]
- Original introduction of the Fama-MacBeth regression [1]
- Example of using Fama-MacBeth regression[2]
- Gives in depth description of Fama-MacBeth procedure[3]
- ^ Fama, Eugene F.; MacBeth, James D. (1973). "Risk, Return, and Equilibrium: Empirical Tests". Journal of Political Economy. 81 (3): 607–636. ISSN 0022-3808.
- ^ Fama, Eugene F.; French, Kenneth R. (1992). "The Cross-Section of Expected Stock Returns". The Journal of Finance. 47 (2): 427–465. doi:10.1111/j.1540-6261.1992.tb04398.x. ISSN 1540-6261.
- ^ Cochrane, John (2005). Asset Pricing: Revised Edition. Princeton University Press. pp. 245–251. ISBN 9780691121376.