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All Fama-French (and other) factor models are based on an annual frequency of financial reporting and portfolio holding periods.

Is there any research on quarterly factor models in the context of stock-returns?

If not, why not?

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  • $\begingroup$ "t" is just an index. Fama-French chose it to index years because that's how the data was structured - but there is nothing ironclad or special about this choice. The resulting model could be applied to years, quarters, days - whatever. But higher-frequency data will be subject to seasonality and other effects that don't necessarily aid in understanding fundamentals. $\endgroup$ – heh Sep 18 '19 at 19:41

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