Characteristics, covariances, and structural breaks

Pin Huang Chou; Kuan Cheng Ko

doi:10.1016/j.econlet.2007.10.025

Characteristics, covariances, and structural breaks

Pin Huang Chou^*, Kuan Cheng Ko

^*Corresponding author for this work

National Central University

Research output: Contribution to journal › Journal Article › peer-review

Abstract

By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is better explained by Fama-French's three-factor model.

Original language	English
Pages (from-to)	31-34
Number of pages	4
Journal	Economics Letters
Volume	100
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2007.10.025
State	Published - 07 2008
Externally published	Yes

Keywords

Characteristics model
Factor model
Structural break

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10.1016/j.econlet.2007.10.025

Cite this

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title = "Characteristics, covariances, and structural breaks",

abstract = "By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is better explained by Fama-French's three-factor model.",

keywords = "Characteristics model, Factor model, Structural break",

author = "Chou, \{Pin Huang\} and Ko, \{Kuan Cheng\}",

year = "2008",

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doi = "10.1016/j.econlet.2007.10.025",

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journal = "Economics Letters",

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AU - Chou, Pin Huang

AU - Ko, Kuan Cheng

PY - 2008/7

Y1 - 2008/7

N2 - By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is better explained by Fama-French's three-factor model.

AB - By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is better explained by Fama-French's three-factor model.

KW - Characteristics model

KW - Factor model

KW - Structural break

UR - https://www.scopus.com/pages/publications/43949131095

U2 - 10.1016/j.econlet.2007.10.025

DO - 10.1016/j.econlet.2007.10.025

M3 - 文章

AN - SCOPUS:43949131095

SN - 0165-1765

VL - 100

SP - 31

EP - 34

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

Characteristics, covariances, and structural breaks

Abstract

Keywords

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