Portfolio Overlapping Bias in Tests of the Fama–French Three‐Factor Model
研究了Fama-French三因子模型标准检验中，因测试组合与因子组合基于相同变量形成而导致的重叠偏差，发现该偏差不可忽视。
Abstract In the standard approach of the three‐factor model of Fama and French ( ), both the test portfolios and the SMB and HML factor portfolios are formed on the basis of size and the book‐to‐market ratio. Thus, a potential overlapping bias in time‐series regressions arises. Based on a resampling method and a split‐sample approach, we provide an in‐depth analysis of the effect of overlapping for a broad sample of European stocks. We find that the overlapping bias is non‐negligible, contrary to what seems to be the general opinion.