most citedA New Look to Three-Factor Fama-French Regression Model using Sample Innovations

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q-fin.ST2020★ 1 cited

A New Look to Three-Factor Fama-French Regression Model using Sample Innovations

Javad Shaabani, Ali Akbar Jafari

The Fama-French model is widely used in assessing the portfolio's performance compared to market returns. In Fama-French models, all factors are time-series data. The cross-section…