Skip to content
Stata.Professor : Your Partner in Research Logo

  • Home
  • Paid Help
    • Empirical Models using Stata®
    • Data Management
    • Paid Help | Pricing
    • Paid Help – Frequently Asked Questions (FAQs)
    • Privacy
  • Completed Projects
    • Asset Pricing Models
      • Fama and French Model
      • Fama – MacBeth
      • Bootstrap Fund Performance
      • Investors attention
      • Misvaluing Innovation
    • Implied cost of equity (ICC)
      • Gebhardt et al. (2001) – GLS
      • ICC GLS Model
      • Claus and Thomas (2001)
      • Cost of Equity using CAPM & FF3
      • Mutual Funds performance
    • Event studies
      • Event study methodology
      • Returns to New IPOs
      • Share repurchases
    • Momentum & Trading
      • asm Momentum Portfolios
      • Absolute Strength Momentum
      • Non-parametric momentum
      • Trading rules
      • Herding behavior
      • Sentiment, disagreement
    • KMV – Default Probability
    • Earning Management Model
    • Market Liquidity
      • Market liquidity models
      • Bid Ask Spread
    • Volatility
      • Backtesting VaR Models
      • P42 – Volatility portfolios
      • P31 – Realized volatility
      • Volatility Managed Portfolios
      • Expected Idiosyncratic Skewness
    • CEO debt and R&D
    • Zero-leverage firms
    • Financial Statement Comparability
  • Stata Programs
    • ASDOC: Stata to Word
      • asdoc : examples
      • asdoc : Tables of summary statistics
    • ASROL: Rolling window stats
    • ASREG: rolling regressions
    • ASTILE: for Portfolios and Groups
    • ASCOL: Converts Data Frequency
    • ASM: Momentum Portfolios
    • Stata Random Tips
    • Download Statistics
  • BLOG
  • ForumsbbPress Forums
  • About Us
  • Home
  • Paid Help
    • Empirical Models using Stata®
    • Data Management
    • Paid Help | Pricing
    • Paid Help – Frequently Asked Questions (FAQs)
    • Privacy
  • Completed Projects
    • Asset Pricing Models
      • Fama and French Model
      • Fama – MacBeth
      • Bootstrap Fund Performance
      • Investors attention
      • Misvaluing Innovation
    • Implied cost of equity (ICC)
      • Gebhardt et al. (2001) – GLS
      • ICC GLS Model
      • Claus and Thomas (2001)
      • Cost of Equity using CAPM & FF3
      • Mutual Funds performance
    • Event studies
      • Event study methodology
      • Returns to New IPOs
      • Share repurchases
    • Momentum & Trading
      • asm Momentum Portfolios
      • Absolute Strength Momentum
      • Non-parametric momentum
      • Trading rules
      • Herding behavior
      • Sentiment, disagreement
    • KMV – Default Probability
    • Earning Management Model
    • Market Liquidity
      • Market liquidity models
      • Bid Ask Spread
    • Volatility
      • Backtesting VaR Models
      • P42 – Volatility portfolios
      • P31 – Realized volatility
      • Volatility Managed Portfolios
      • Expected Idiosyncratic Skewness
    • CEO debt and R&D
    • Zero-leverage firms
    • Financial Statement Comparability
  • Stata Programs
    • ASDOC: Stata to Word
      • asdoc : examples
      • asdoc : Tables of summary statistics
    • ASROL: Rolling window stats
    • ASREG: rolling regressions
    • ASTILE: for Portfolios and Groups
    • ASCOL: Converts Data Frequency
    • ASM: Momentum Portfolios
    • Stata Random Tips
    • Download Statistics
  • BLOG
  • ForumsbbPress Forums
  • About Us
  • Home
  • Paid Help
    • Empirical Models using Stata®
    • Data Management
    • Paid Help | Pricing
    • Paid Help – Frequently Asked Questions (FAQs)
    • Privacy
  • Completed Projects
    • Asset Pricing Models
      • Fama and French Model
      • Fama – MacBeth
      • Bootstrap Fund Performance
      • Investors attention
      • Misvaluing Innovation
    • Implied cost of equity (ICC)
      • Gebhardt et al. (2001) – GLS
      • ICC GLS Model
      • Claus and Thomas (2001)
      • Cost of Equity using CAPM & FF3
      • Mutual Funds performance
    • Event studies
      • Event study methodology
      • Returns to New IPOs
      • Share repurchases
    • Momentum & Trading
      • asm Momentum Portfolios
      • Absolute Strength Momentum
      • Non-parametric momentum
      • Trading rules
      • Herding behavior
      • Sentiment, disagreement
    • KMV – Default Probability
    • Earning Management Model
    • Market Liquidity
      • Market liquidity models
      • Bid Ask Spread
    • Volatility
      • Backtesting VaR Models
      • P42 – Volatility portfolios
      • P31 – Realized volatility
      • Volatility Managed Portfolios
      • Expected Idiosyncratic Skewness
    • CEO debt and R&D
    • Zero-leverage firms
    • Financial Statement Comparability
  • Stata Programs
    • ASDOC: Stata to Word
      • asdoc : examples
      • asdoc : Tables of summary statistics
    • ASROL: Rolling window stats
    • ASREG: rolling regressions
    • ASTILE: for Portfolios and Groups
    • ASCOL: Converts Data Frequency
    • ASM: Momentum Portfolios
    • Stata Random Tips
    • Download Statistics
  • BLOG
  • ForumsbbPress Forums
  • About Us

Fama McBeth Regression with Shanken correction

Fama McBeth Regression with Shanken correction

Attaullah Shah2023-07-10T19:15:22+05:00July 10th, 2023|0 Comments

Leave A Comment Cancel reply

Key Links

  • Paid Help
  • Data Management
  • Empirical Models using Stata®
  • Paid Help – FAQs
  • Paid Help | Pricing
  • Privacy

Recent Projects

  • Conditional Beta using MGARCH Approach
  • Returns to New IPOs
  • Trading frequency | Price Impact
  • Measuring Financial Statement Comparability
  • Expected Idiosyncratic Skewness and Stock Returns
  • Absolute Strength Momentum

Contact Info

Email: attaullah.shah@imsciences.edu.pk

Copyright 2012 - 2020 Attaullah Shah | All Rights Reserved
FacebookTwitterInstagramPinterest
Page load link
Go to Top