The Fama-Macbeth Methodology Versus the Non-Linear Unrelated Regression and Different Portfolio Formation Criteria

41 Pages Posted: 19 Jun 2002

See all articles by Panayiota Koulafetis

Panayiota Koulafetis

Duke Energy International

Mario Levis

City University London - Cass Business School

Abstract

This paper examines the predictive ability of alternative Unconditional methodologies. Another objective that is explored is the sensitivity of results to different grouping techniques, of size; PE ratio and dividend yield portfolio groupings. The third issue examined entails the identification of priced factors in the UK market, over a twenty year of period, (1976-1996), and for a data-set (approximately 6000 companies), which provides a complete history of firms traded on the London Stock exchange, inclusive of Unlisted securities market. We find that that the choice of one methodology over another has important implications and that there is a sensitivity of results to different portfolio groupings.

Suggested Citation

Koulafetis, Panayiota and Levis, Mario, The Fama-Macbeth Methodology Versus the Non-Linear Unrelated Regression and Different Portfolio Formation Criteria. EFMA 2002 London Meetings; Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=314383 or http://dx.doi.org/10.2139/ssrn.314383

Panayiota Koulafetis (Contact Author)

Duke Energy International ( email )

1-11 John Adam Street
The Adelphi
London WC2N 6HT
United Kingdom

Mario Levis

City University London - Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
4420 70408635 (Phone)

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