Characteristics, covariances, and structural breaks

Chou, Pin-Huang and Ko, Kuan-Cheng

Economics Letters, 2008, vol. 100, issue 1, pages 31-34

Abstract: By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is better explained by Fama-French's three-factor model.

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