The effect of macroeconomic variables on the robustness of the traditional Fama–French model. A study for Mexico using different portfolios
Purpose – Fama–French model (FFM) has been successful in helping to predict the financial markets, but investors have been interested in creating more sophisticated models to better predict the performance of the stock market. The objective of the extended version is to create a more robust economet...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Emerald Publishing
2021-12-01
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| Series: | Journal of Economics Finance and Administrative Science |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/JEFAS-03-2021-0010/full/pdf?title=the-effect-of-macroeconomic-variables-on-the-robustness-of-the-traditional-fama-french-model-a-study-for-mexico-using-different-portfolios |