The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test

We investigate conditional specifications of the five-factor Fama-French (FF) model, augmented with traditional illiquidity measures. The motivation for this time-varying methodology is that the traditional static approach of the FF model may be misspecified, especially for the endogenous illiquidit...

Descripción completa

Detalles Bibliográficos
Autores principales: Racicot, François-Éric, Rentz, William F., Tessier, David, Théoret, Raymond
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2019
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6750890/
https://www.ncbi.nlm.nih.gov/pubmed/31532780
http://dx.doi.org/10.1371/journal.pone.0221599

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6750890/
https://www.ncbi.nlm.nih.gov/pubmed/31532780
http://dx.doi.org/10.1371/journal.pone.0221599

Ejemplares similares