Resource title

Semiparametric estimation of a characteristic-based factor model of common stock returns

Resource image

image for OpenScout resource :: Semiparametric estimation of a characteristic-based factor model of common stock returns

Resource description

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.

Resource author

Resource publisher

Resource publish date

Resource language

en

Resource content type

application/pdf

Resource resource URL

http://eprints.lse.ac.uk/4424/1/Semiparametric_Estimation_of_a_Characteristic-based_Factor_Model_of_Common_Stock_Returns.pdf

Resource license