What is a possible endogeneity problem in the Fama and French asset pricing tests of the three-factor

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What is a possible endogeneity problem in the Fama and French asset pricing tests of the three-factor model? How can we reduce this problem in asset pricing tests?

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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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Question Posted: Mar 05, 2024 06:00 AM

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What is a possible endogeneity problem in the Fama and French asset pricing tests of the three-factor

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Endogeneity in the context of asset pricing tests particularly in the Fama and French threefactor model refers to the potential correlation between th...View the full answer

Investment Valuation And Asset Pricing Models And Methods

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