Efficient Semiparametric Estimation of the Fama–French Model and Extensions

This paper develops a new estimation procedure for characteristic‐based factor models of stock returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time‐varying weights and a set of univariate nonparametric functions relating security characteristic to the associated factor betas. We use a time‐series and cross‐sectional pooled weighted additive nonparametric regression methodology to simultaneously estimate the factor returns and characteristic‐beta functions. By avoiding the curse of dimensionality, our methodology allows for a larger number of factors than existing semiparametric methods. We apply the technique to the three‐factor Fama–French model, Carhart's four‐factor extension of it that adds a momentum factor, and a five‐factor extension that adds an own‐volatility factor. We find that momentum and own‐volatility factors are at least as important, if not more important, than size and value in explaining equity return comovements. We test the multifactor beta pricing theory against a general alternative using a new nonparametric test.     

Vivre sa vieillesse en Suisse. Les transformations des modes de résidence des personnes âgées

We analyse here the household situation of the elderly in Switzerland. The study is based on an original analytical framework applied to the 1991 and 1994 round of the Swiss Labour Force Survey and a secondary analysis of the Swiss Federal Censuses of 1970, 1980 and 1990. The situation at the beginning of the '90s is described in the different age groups of the second part of the lifecourse and in reference to individual profiles. In a second step, this information is considered in the light of the evolution which occurred during the last thirty years. By comparing the situation in 1991 and 1994, we further propose insights into the transformations still in process. The objective is to examine in what measure elderly people are also affected by the new life styles shown in particular in the diversification of the household arrangements. More broadly, the aim is to contribute to a better understanding of the current mutations of the elderly's position in the family and in the society.