Goldberg, Michael D.; Kozlova, Olesia; Ozabaci, Deniz - In: Econometrics 8 (2020) 4, pp. 1-26
This paper examines the stability of the Bilson-Fama regression for a panel of 55 developed and developing countries. We find multiple break points for nearly every country in our panel. Subperiod estimates of the slope coefficient show a negative bias during some time periods and a positive...