Luc

Questions#

• Already answered in e-mail

Remarks#

• Structure: chapter 2 contains (i) a literature review and (ii) some parts on the methodology, particularly, how certain variables are defined in your own method. Those two parts should be separated, and the part that relates to your own study should be in ch. 3.

• You should place an equation of your own baseline regression model in ch. 3. Now, it is clear what asset pricing model you use, but it’s unclear what is exactly the model which you estimate to test your hypotheses.

• Include the expected signs of the coefficients of the models, according to the hypotheses.

• Methodology: you introduce a new risk factor! :) Way to test it is indeed standard Fama-Macbeth. We can go over the details in the meeting if you want.