Asgharian, Hossein (contributor); … - 2006
, conditioning on the business cycle variable has almost no
impact on the Fama and French’s two-factor model. This support the … Torous (1995) use a recursive estimation technique to
estimate the cycle variable, guaranteeing that it will be in the ….
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set. We choose to use the whole sample when estimating the cycle variable. This
choice is of course debatable as it …