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.
| Original language | English |
|---|---|
| Title of host publication | Financial econometrics modeling |
| Subtitle of host publication | market microstructure, factor models and financial risk measures |
| Editors | Greg N. Gregoriou, Razvan Pascalau |
| Place of Publication | Hampshire, UK |
| Publisher | Palgrave Macmillan |
| Pages | 176-193 |
| Number of pages | 18 |
| ISBN (Electronic) | 9780230298101 |
| ISBN (Print) | 9780230283626, 9781349328901 |
| DOIs | |
| Publication status | Published - 2011 |
| Externally published | Yes |
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