dogmamongo 发表于 2015-9-8 11:02 
1. 其实Fama and Macbeth regression 算是一个特例的随机系数模型
亦即 每期的系数 都是一个平均系数 ...
Suppose there are 1,000 stocks with returns data over 100 months. We also have the market portfolio returns over 100 months. We want to test whether CAPM holds or not for this sample.
Stage 1 analysis: Portfolio formation
1. Starting, let's say, month 25, we compute the pre-ranking betas for each stock, by regressing the previous 24 month stock returns on the market returns.
2. Each month we rank all stocks as per their betas.
3. Classify all these 1,000 stocks into, say, 10 portfolios
4. Now we have 10 portfolios over 76 months (months 25 through 100)
(The idea of portfolio formation is to minimize within-portfolio variation in betas).
Stage 2 analysis: Cross-sectional tests
1. For each portfolio, we carry out full-period regression of portfolio returns on market returns (10 regressions, each over 76 months).
2. Thus we get 10 post-ranking betas, one for each portfolio.
3. For each of the 76 months, we regress the portfolio returns on the post-ranking betas (76 regressions, each over 10 observations).
4. We collect the time series of all these regression slopes.
5. The essential test is whether time-series average slope = 0
您好，这是我在另一篇帖子里看到的解释，在第二步里已经得到组合的beta，为什么还要用portfolio returns对beta回归， 意思是要验证这个factor能对return产生影响吗，如果 average slope=0这个factor就是无效的，希望得到您的解答
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