Comparing Cross-Section and Time-Series Factor Models

• 成果类型: Article
• 署名作者: Fama, Eugene F.; French, Kenneth R.
• 署名单位: University of Chicago; Dartmouth College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz089
• 发表日期: 2020
• 页码: 1891
• 关键词: CONDITIONAL CAPM; RISK; investments; returns

摘要

We use the cross-section regression approach of Fama and MacBeth (1973) to construct cross-section factors corresponding to the time-series factors of Fama and French (2015). Time-series models that use only cross-section factors provide better descriptions of average returns than time-series models that use time-series factors. This is true when we impose constant factor loadings and when we use time-varying loadings that are natural for time-series factors and time-varying loadings that are natural for cross-section factors.