I use monthly stock return data for all stocks listed on a major US exchange from January 1990 to December 2016 and utilize a Fama-MacBeth Regression with Newey-West standard errors to test the ...

The Hausman test evaluates the potential endogeneity of a regressor by examining an artificial regression that includes the residuals from a first-stage regression of the endogenous variable on the ...

Learn about the components of the capital asset pricing model (CAPM), and discover how to calculate a company's cost of equity financing with this formula.

Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 29, No. 2 (1980), pp. 142-148 (7 pages) A test of the stability over time of the coefficients of a linear regression model ...