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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2019
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| Materias: | |
| 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 |