The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test

We investigate conditional specifications of the five-factor Fama-French (FF) model, augmented with traditional illiquidity measures. The motivation for this time-varying methodology is that the traditional static approach of the FF model may be misspecified, especially for the endogenous illiquidit...

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Bibliographic Details
Published in:	PloS one Vol. 14; no. 9; p. e0221599
Main Authors:	Racicot, François-Éric, Rentz, William F., Tessier, David, Théoret, Raymond
Format:	Journal Article
Language:	English
Published:	United States Public Library of Science 18.09.2019 Public Library of Science (PLoS)
Subjects:	Algorithms Analysis Asset pricing Book value Commerce Econometrics Economic models Economic statistics Financial management Humans International finance Investments Markets Methods Models, Econometric Motivation Parameter sensitivity Physical Sciences Pricing Research and Analysis Methods Researchers Risk assessment Skewness Social Sciences Specifications Variables United Kingdom > UK Canada
ISSN:	1932-6203, 1932-6203
Online Access:	Get full text
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