Fama-MacBeth regression就是Fama-Mabeth 1973年paper用的方法。
其主要步骤：
1. Time series regression of retruns on factors to get beta's
2. Cross-sectional regression of returns on betas to get risk premium, this is done repeatedly for all the periods, thus you will get a time series of cross sectional regression coefficient.
3. The final estimates are just the mean of the time series of the cross-sectional estimates from step2, the standard deviation is just the time series standard deviation of those estimates.
看一下Fama & French 1992 和1993的两篇文章。
1992：the cross-section of Expected Stock Return;
1993: Common Risk Factors in the returns on Stocks and Bonds.