Fama and MacBeth (1973) regression is a key concept and an important econometric technique that lays in the foundation of modern empirical finance and asset pricing. Today we are discussing the idea behind the Fama-MacBeth regression, the issues it seeks to address, and applying it to real-world data from S&P 500 to calculate the market risk premium.
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Негізгі бет Fama-MacBeth regression explained: calculating risk premia (Excel)
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