Pastor-Stambaugh model

A

anupamjain008

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Could any of you kindly explain this concept briefly here? I am sorry I do not have access to the CFAI text right now. TIA!
 
same as fama french. addition of a liquidity constraint.
 
Thanks folks.
@Notheastern Student, did you put the parenthesis at the end by mistake? I am guessing the following would make better sense:
PSM = rf + (SMB*Beta) + (HML*Beta) + (Less Liquid - Highly Liquid portfolios)*Beta
Please confirm.
 
yes, it was typo, was getting lazy about how to abbreviate liqudity so put whole thnig, ur version is correct.
 
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