The Evolution of Estimation Methods and Applications of the Fama-MacBeth Model: A Review
DOI:
https://doi.org/10.62933/ddtdmv52Keywords:
Fama-MacBeth Regression, , Asset Pricing, , Time Series Regression,, Rolling Window Regression,, Cross-Section RegressionAbstract
This literary review offers a comprehensive analysis of the evolution of methods for estimating and using the Fama-MacBeth regression model in research. The paper traces the model's development from a simple tool for testing the Capital Asset Pricing Model (CAPM) to a complex statistical framework used to analyze multifactor models and complex phenomena.
The review focuses on the key developments in the uses of the Fama-MacBeth model and its estimation. It also highlights the expansion of the model's applications.
In conclusion, this review shows that the Fama-MacBeth model remains a vital and effective tool in financial research, and its methodological and applied evolution has made it more powerful and flexible in facing the challenges of analyzing complex financial data.
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