Essays about: "Fama-MacBeth two-step regressions."

Found 1 essay containing the words Fama-MacBeth two-step regressions..

1. 1. Does Quality Matter?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Lovisa Jalrup; Sawan Patel; [2020]
   Keywords : Investment strategy; Small-Minus-Big SMB ; size effect; firm quality; Fama-MacBeth two-step regressions.; Business and Economics;

   Abstract : The purpose of this study is to investigate if there is any size effect in the Swedish stock market between April 2010 and December 2019, and if controlling for firms' quality improves the performance of a size-based investment strategy. The risk premium of firms with smaller market value of equity has since its discovery been under heavy scrutiny. READ MORE