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Connor, Gregory (2007) Semiparametric estimation of a characteristic-based factor model of common stock returns. Journal of Empirical Finance, 14 (5). pp. 694-717. ISSN 0927-5398
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Abstract
We introduce an alternative version of the Fama–French three-factor model of stock returns together
with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear
functions of observed security characteristics. We develop an estimation procedure that combines
nonparametric kernel methods for constructing mimicking portfolios with parametric nonlinear regression
to estimate factor returns and factor betas simultaneously. The methodology is applied to US common
stocks and the empirical findings compared to those of Fama and French.
| Item Type: | Article |
|---|---|
| Keywords: | Characteristic-based factor model; Arbitrage pricing theory; Kernel estimation; Nonparametric estimation; |
| Academic Unit: | Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: | 8434 |
| Depositing User: | Gregory Connor |
| Date Deposited: | 11 Jul 2017 15:37 |
| Journal or Publication Title: | Journal of Empirical Finance |
| Publisher: | Elsevier |
| Refereed: | Yes |
| Related URLs: | |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/8434 |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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