000030622 001__ 30622
000030622 005__ 20131209145632.0
000030622 0248_ $$aoai:doc.rero.ch:20121115172505-OA$$pinfonet_economy$$punifr$$prero_explore$$pcdu33$$preport$$zthesis_urn$$zthesis$$zbook$$zjournal$$zcdu16$$zpostprint$$zpreprint$$zcdu1$$zdissertation$$zcdu34
000030622 041__ $$aeng
000030622 080__ $$a33
000030622 100__ $$aWallmeier, Martin
000030622 245__ $$9eng$$aA Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model
000030622 269__ $$c2012-11-15
000030622 300__ $$a33
000030622 490__ $$aWorking Papers SES$$v433
000030622 520__ $$9eng$$aIn the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB) and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test portfolios and the factor portfolios SMB and HML are formed on the basis of size and B/M. This gives rise to a potential overlapping bias in the time-series regressions. Based on a resampling method and the split sample approach already proposed by Fama and French (1993), we provide an in-depth analysis of the effect of overlapping for a broad sample of European stocks. We find that the overlapping bias is non-negligible, contrary to what seems to be general opinion. As a consequence, the standard approach of applying the three-factor model tends to overestimate the ability of the model to explain the cross-section of stock returns.
000030622 695__ $$9eng$$aAsset pricing ; three-factor model ; portfolio overlapping ; size effect ; value premium
000030622 700__ $$aTauscher, Kathrin
000030622 775__ $$gFaculté SES$$ohttp://www.unifr.ch/ses/wp
000030622 8564_ $$fWP_SES_433.pdf$$qapplication/pdf$$s338962$$uhttp://doc.rero.ch/record/30622/files/WP_SES_433.pdf$$yorder:1$$zDocument
000030622 918__ $$aFaculté des sciences économiques et sociales$$bDécanat, Av. de l'Europe 20, 1700 Fribourg
000030622 919__ $$aUniversité de Fribourg$$bFribourg$$ddoc.support@rero.ch
000030622 980__ $$aREPORT$$bUNIFR
000030622 982__ $$aWorking Papers SES
000030622 990__ $$a20121115172505-OA