Fama-MacBeth Regression is a two-stage cross-sectional regression methodology used in financial econometrics to estimate and test asset pricing models by first regressing asset returns on risk factors to obtain factor loadings and then regressing returns on these loadings to estimate risk premiums while correcting for cross-sectional correlation.
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8.4K
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225
Authors
186
Institutions
Publications per year
2017–2026
44
Variants
Fama-macbeth Procedure
Parents
Publications
110
Expected Idiosyncratic Skewness
Brian H. Boyer, Todd Mitton, Keith Vorkink · Review of Financial Studies · 2009 · 887 citations
Joshua D. Coval, Tyler Shumway · The Journal of Finance · 2001 · 820 citations · Full text
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Authors
225
- GZ
7
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- BH
3
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- TM
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Institutions
186
Washington University in St. Louis
St Louis, United States
6 h-index
8 publications
294 citations
National Bureau of Economic Research
Cambridge, United States
6 h-index
7 publications
476 citations
University of Chicago
Chicago, United States
5 h-index
6 publications
465 citations
Columbia University
New York, United States
5 h-index
5 publications
480 citations
University of Piraeus
Piraeus, Greece
4 h-index
4 publications
89 citations
Rice University
Houston, United States
4 h-index
5 publications
203 citations
Dartmouth College
Hanover, United States
3 h-index
3 publications
340 citations
International Monetary Fund
Washington D.C., United States
3 h-index
3 publications
92 citations
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Venues
- SSRN Electronic Journal
Repository · 31 publications · 1.4K citations
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- Managerial Finance
6 publications · 121 citations
6
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- China Finance Review International
CFRI · 5 publications · 77 citations
5
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- Review of Financial Studies
3 publications · 1.8K citations
3
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- The Journal of Finance
3 publications · 1.2K citations
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