What does Fama-Macbeth regression model alpha (intercept) measure?

Asked Mar 27 '23 at 23:12

Active May 31 '23 at 18:16

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I did a fama-macbeth regression and got alpha of over 2.3%. Dependent variable is monthly returns and independent variables are ln(size) and ln(book-to-market). I was just wondering what does the intercept measure?

edited May 31 '23 at 18:16

Bob Jansen

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asked Mar 27 '23 at 23:12

JH1

What does Fama-Macbeth regression model alpha (intercept) measure?

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