Portfolio Overlapping Bias in Tests of the Fama-French Three-Factor Model

被引：2

作者：

Tauscher, Kathrin ^{[1
]}

Wallmeier, Martin ^{[1
]}

机构：

[1] Univ Fribourg Switzerland, Dept Finance & Accounting, Bd Perolles 90, CH-1700 Fribourg, Switzerland

来源：

EUROPEAN FINANCIAL MANAGEMENT | 2016年 / 22卷 / 03期

关键词：

Asset pricing; three-factor model; portfolio overlapping; size effect; value premium; ASSET PRICING-MODELS; CROSS-SECTION; MARKET ANOMALIES; CONDITIONAL CAPM; RISK PREMIA; STOCK; RETURNS; CONSUMPTION; SIZE;

D O I：

10.1111/eufm.12064

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In the standard approach of the three-factor model of Fama and French (1993), both the test portfolios and the SMB and HML factor portfolios are formed on the basis of size and the book-to-market ratio. Thus, a potential overlapping bias in time-series regressions arises. Based on a resampling method and a split-sample approach, we provide an in-depth analysis of the effect of overlapping for a broad sample of European stocks. We find that the overlapping bias is non-negligible, contrary to what seems to be the general opinion.

引用

页码：367 / 393

页数：27

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