Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis

David Allen and Robert Powell

Chapter 7 in Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, 2011, pp 176-193 from Palgrave Macmillan

Abstract: Abstract This chapter empirically examines the behavior of the three risk factors from the Fama–French factor model of stock returns using quantile regressions and a US data set. It draws on the work of Koenker and Basset (1982) and Koenker (2005), who developed quantile regression which features inference concerning conditional quantile functions. The study shows that the factor models do not necessarily have consistent linear relationships across the quantiles.

Keywords: Ordinary Little Square; Stock Return; Asset Price; Ordinary Little Square Estimate; Little Trim Square (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-29810-1_7

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DOI: 10.1057/9780230298101_7

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