This paper examines the Fama-MacBeth test of asset pricing models through its application to the Fama and French model. The Fama and French 25 sorted portfolios, 30 industrial portfolios and their combination have been used. The data of monthly observations span over the period 1963-2008....

The existence of reversals and momentum in equity returns has challenged proponents of efficient markets for over 30 years. Although explanations for momentum profits based on cross-sectional mean return dispersion have been proposed, evidence of time-series autocorrelation from Fama-MacBeth...