Final Fama-MacBeth regression data.xlsx (35.4 kB)
Final Fama-MacBeth regression data
The excel is Fama-MacBeth second-stage cross-sectional regression data. There are three sheets corresponding to data for three cross-sectional regression models the results of which are shown in table 5 in the context. The last sheet presents the regression results for the three cross-sectional regressions.