A panel data robust instrumental variable approach : a test of the new Fama-French five-factor model
François-Eric Racicot and William F. Rentz
| Year of publication: |
March 2017
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|---|---|
| Authors: | Racicot, François-Éric ; Rentz, William F. |
| Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 24.2017, 4/6, p. 410-416
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| Subject: | Fama-French five-factor model | GMM | fixed-effects model | Pástor-Stambaugh liquidity | robust instruments | CAPM | Theorie | Theory | IV-Schätzung | Instrumental variables | Momentenmethode | Method of moments | Robustes Verfahren | Robust statistics | Panel | Panel study |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2016.1197361 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011705366