Panel Data Inference in Finance: Least-Squares vs Fama-Macbeth

Keywords

Inference, Panel data, Economics, Econometrics, Mathematics

References

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Cited by

• The determinants of cash holdings: evidence from dutch listed firmsChie-May Suen — 2011
• High-frequency trading and its role in fragmented marketsMartin Haferkorn — 2017
• Adverse selection and the presence of informed tradingSanders S. Chang, F. Albert Wang — 2015
• Essays on mandatory and voluntary disclosure : the stock market reaction to mandatory segment reporting changes and the credibility of voluntary management forecastsJong Chool Park — 2006
• Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and Asymptotic Principal ComponentsGregory Connor, Robert A. Korajczyk, Robert T. Uhlaner — 2009
• A Synthesis of Two Factor Estimation MethodsGregory Connor, Robert A. Korajczyk, Robert T. Uhlaner — 2015
• An empirical investigation of credit risk markets during financial crisisMarina Kryukova — 2014
• THE INTERNATIONAL CAPITAL ASSET PRICING MODEL: EMPIRICAL EVIDENCE FOR SOUTH AFRICAFaeezah Peerbhai — 2011
• A statistically robust decomposition of mutual fund performanceJulius Agnesens — 2013
• The effect of SFAS 131 on the stock market’s ability to predict industry‐wide and firm‐specific components of future earningsJong Chool Park — 2011
• A dynamic intraday measure of the probability of informed trading and firm-specific return variationSanders S. Chang, Lenisa V. Chang, F. Albert Wang — 2014
• Rejoinder - Customer Satisfaction-Based Mispricing: Issues and MisconceptionsRobert Jacobson, Natalie Mizik — 2009
• Common stock returns in the pre-WWI Berlin Stock ExchangeCaroline Fohlin, Steffen Reinhold — 2009
• Absence of Value: An Analysis of Investment Allocation Decisions by Institutional Plan SponsorsScott Stewart, John J. Neumann, Christopher R. Knittel — 2009
• A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending MarketAdam C. Kolasinski, Adam V. Reed, Matthew C. Ringgenberg — 2013
• Implicit House Prices: Variation over Time and Space in SpainStanley McGreal, Paloma Taltavull de La Paz — 2011
• Assessing the Value-Relevance of Customer SatisfactionRobert Jacobson, Natalie Mizik — 2009
• Business Ties and Information Advantage: Evidence from Mutual Fund TradingYing Duan, Edith Hotchkiss, Yawen Jiao — 2016
• Information content of SFAS 157 fair value reportingMohamed A. Elbannan, Mona A. ElBannan, Mona A. Elbannan — 2015
• Do behavioral needs influence the trading activity of individual investors? Evidence from repeated natural experimentsXiaohui Gao, TC Lin — 2010

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