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st: xtfmb: Fama MacBeth regression - High average R2, but no significant coefficients


From   "Alexander v. Angerer" <avangerer@web.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtfmb: Fama MacBeth regression - High average R2, but no significant coefficients
Date   Wed, 27 Apr 2011 23:39:58 +0200 (CEST)

Hello,

I was conducting a Fama MacBeth regression using xtfmb to test wether three betas on factor portfolios are able to explain the cross sectional variation in portfolio returns.

None of the three (average time series) beta coefficients was significant while the average R squared of all  cross sections was above 70%. What could be the problem here?

Best regards,

Alex


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