Testing the new Fama and French factors with illiquidity : a panel data investigation
Year of publication: |
2018
|
---|---|
Authors: | Racicot, François-Éric ; Rentz, William F. ; Théoret, Raymond |
Published in: |
Finance : revue de l'Association Française de Finance. - Grenoble : Presses Universitaires de Grenoble, ISSN 0752-6180, ZDB-ID 614796-3. - Vol. 39.2018, 3, p. 45-102
|
Subject: | Fama-French (2015) five factors | illiquidity | hedge funds | panel data | GMM | robust instruments | Panel | Panel study | Schätzung | Estimation | CAPM | Momentenmethode | Method of moments | Hedgefonds | Hedge fund | Frankreich | France | Kapitaleinkommen | Capital income |
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