Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of Empirical Finance 17 (2010) 4, pp. 763-782
In this paper we propose a multivariate regression based assessment of the multifactor model first developed by Fama and French (1993). We study mean-variance efficiency and spanning, as well as factor relevance. In particular, we assess the relative contribution of the factors in accounting for...
