Asset pricing, the Fama-French factor model and the implications of quantile-regression analysis

David E. Allen, Abhay Kumar Singh, Robert Powell

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

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.

LanguageEnglish
Title of host publicationFinancial econometrics modeling
Subtitle of host publicationmarket microstructure, factor models and financial risk measures
EditorsGreg N. Gregoriou, Razvan Pascalau
Place of PublicationHampshire, UK
PublisherPalgrave Macmillan
Pages176-193
Number of pages18
ISBN (Electronic)9780230298101
ISBN (Print)9780230283626, 9781349328901
DOIs
Publication statusPublished - 2011
Externally publishedYes

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Asset pricing
Regression analysis
Quantile regression
Stock returns
Conditional quantiles
Risk factors
Inference
Quantile

Cite this

Allen, D. E., Singh, A. K., & Powell, R. (2011). Asset pricing, the Fama-French factor model and the implications of quantile-regression analysis. In G. N. Gregoriou, & R. Pascalau (Eds.), Financial econometrics modeling: market microstructure, factor models and financial risk measures (pp. 176-193). Hampshire, UK: Palgrave Macmillan. https://doi.org/10.1057/9780230298101_7
Allen, David E. ; Singh, Abhay Kumar ; Powell, Robert. / Asset pricing, the Fama-French factor model and the implications of quantile-regression analysis. Financial econometrics modeling: market microstructure, factor models and financial risk measures. editor / Greg N. Gregoriou ; Razvan Pascalau. Hampshire, UK : Palgrave Macmillan, 2011. pp. 176-193
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Allen, DE, Singh, AK & Powell, R 2011, Asset pricing, the Fama-French factor model and the implications of quantile-regression analysis. in GN Gregoriou & R Pascalau (eds), Financial econometrics modeling: market microstructure, factor models and financial risk measures. Palgrave Macmillan, Hampshire, UK, pp. 176-193. https://doi.org/10.1057/9780230298101_7

Asset pricing, the Fama-French factor model and the implications of quantile-regression analysis. / Allen, David E.; Singh, Abhay Kumar; Powell, Robert.

Financial econometrics modeling: market microstructure, factor models and financial risk measures. ed. / Greg N. Gregoriou; Razvan Pascalau. Hampshire, UK : Palgrave Macmillan, 2011. p. 176-193.

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

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Allen DE, Singh AK, Powell R. Asset pricing, the Fama-French factor model and the implications of quantile-regression analysis. In Gregoriou GN, Pascalau R, editors, Financial econometrics modeling: market microstructure, factor models and financial risk measures. Hampshire, UK: Palgrave Macmillan. 2011. p. 176-193 https://doi.org/10.1057/9780230298101_7