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In this paper, the author have examined the relation between expected returns and measures of systematic risk stemming from macroeconomic factors studied by Chen, Roll and Ross (1986, hereafter CRR) for a different time period (1978-2007) and different formation of portfolios (based on ME and BE/ME). Like CRR, the author has used a version of Fama and MacBeth's (1973) two-pass CrossSectional Regression (CSR) methodology. Apparently, changing the time period and formation of portfolio lead to noticeably different conclusions.
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