有个非常基本的问题，楼主没有搞明白，请高手指教。在fama-macbeth回归中，第4步，每个月进行横截面回归时，贝塔值是用前一年固定值，还是动态调整的啊？因为每一年12个回归，解释变量只有贝塔，作者说贝塔值是用前一年值。
1、Estimate a beta for eachstock using monthly returns during the period, 1926 - 1929,(i.e., 48 months):
2、Rank order all of thestock betas, and form 20
portfolios.  The top 5% with the highestbetas  are in portfolio #1, . . . etc. .. the bottom 5% with the   smallest betasare in portfolio #20.3.Estimate the beta of eachof the portfolios by regressing portfolio monthly returns against the marketindex during the period, 1930 - 1934,(i.e., 60 months):
4、For each of the months during the period, 1935-   1938 estimate the ex post SML by regressingportfolio returns against portfolio betas

Note: 48 SMLs will be estimated (one for each month).