@article{a6c43b14aea74ac7bf542667832d8f00,
title = "Characteristics, covariances, and structural breaks",
abstract = "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.",
keywords = "Characteristics model, Factor model, Structural break",
author = "Chou, {Pin Huang} and Ko, {Kuan Cheng}",
note = "Funding Information: We are grateful to Guofu Zhou and an anonymous referee for their helpful comments. Chou acknowledges financial support from the National Science Council of Taiwan (grant number 95-2416-H-008-015-MY3).",
year = "2008",
month = jul,
doi = "10.1016/j.econlet.2007.10.025",
language = "???core.languages.en_GB???",
volume = "100",
pages = "31--34",
journal = "Economics Letters",
issn = "0165-1765",
number = "1",
}