More recently, Fama and French (2020) proposed a modified version of their five-factor model in which the
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More recently, Fama and French (2020) proposed a modified version of their five-factor model in which the multifactors are replaced by long/short mimicking portfolios estimated from a cross-sectional regression. What is the two-step process they implemented to do this?
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Investment Valuation And Asset Pricing Models And Methods
ISBN: 9783031167836
1st Edition
Authors: James W. Kolari, Seppo Pynnönen
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