Characteristics, covariances, and structural breaks

Pin Huang Chou, Kuan Cheng Ko

Research output: Contribution to journalArticlepeer-review


By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is better explained by Fama-French's three-factor model.

Original languageEnglish
Pages (from-to)31-34
Number of pages4
JournalEconomics Letters
Issue number1
StatePublished - Jul 2008


  • Characteristics model
  • Factor model
  • Structural break


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