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- W3173631688 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." @default.
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- W3173631688 date "2011-01-01" @default.
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- W3173631688 title "Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis" @default.
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