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Analyzing Data Using Fama-Macbeth Regression – Part 1.

Understand the rolling window analysis and analyze the history of factor exposures using Fama-Macbeth regression.

Analyzing Data Using Fama-Macbeth Regression – Part 1. (4min)

  • Use panel data and Fama-Macbeth regression.
  • Understand the concept of rolling window analysis and find out about the history of factor exposures.
  • Use Nasdaq 100 and Fama French 5 factors to construct a Fama-Macbeth regression model.
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