Use individual stocks with weighted-least squares based on a firms size as suggested by Hou et al.
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Use individual stocks with weighted-least squares based on a firm’s size as suggested by Hou et al. (2020). Then, repeat the Fama-MacBeth regressions without the weighting scheme adjustment but drop the smallest 20 percent of firms each month. Compare the results of the three approaches.
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Tidy Finance With R
ISBN: 9781032389349
1st Edition
Authors: Christoph Scheuch, Stefan Voigt, Patrick Weiss
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