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This document compares cross-section and time-series factor models in asset pricing, specifically examining the effectiveness of cross-section factors derived from Fama and MacBeth regressions versus traditional time-series factors. The authors argue that models utilizing cross-section factors provide better descriptions of average returns, particularly when factor loadings are time-varying, as opposed to constant loadings in time-series models. They also explore the implications of incorporating momentum f

Author

winstonpontoh

Language

EN