Ontology highlight
ABSTRACT:
SUBMITTER: Racicot FE
PROVIDER: S-EPMC6750890 | biostudies-literature | 2019
REPOSITORIES: biostudies-literature
PloS one 20190918 9
We investigate conditional specifications of the five-factor Fama-French (FF) model, augmented with traditional illiquidity measures. The motivation for this time-varying methodology is that the traditional static approach of the FF model may be misspecified, especially for the endogenous illiquidity measures. We focus on the time-varying nature of the Jensen performance measure α and the market systematic risk sensitivity β, as these parameters are essentially universal in asset pricing models. ...[more]