-
Patrick Schwarz writes:
> „In your code on GitHub (line 20 in Signalhorn.do) and also in the online appendix (page 25) you write that you assume as in the original paper that once a stock is classi…
-
http://www.mlfactor.com/factor.html
http://www.mlfactor.com/chap_3.html
I am trying to replicate chapter 3 using Python.
Table 3.1 is slightly different in the R version of your book vs the p…
-
Dear Bashtage:
I'm doing ablation study on Fama-French Five Factor Model, I use FamaMacbeth to test the risk premium of five factors, but when I use a panel data with number of entities is 25…
-
-
### Value factors to compare with **HML**
_[The Devil in HML’s Details (Asness and Frazzini, 2013)](https://www.aqr.com/Insights/Datasets/The-Devil-in-HMLs-Details-Factors-Daily)_
### Data
h…
-
Several people have asked about whether we have Fama/French's factors or why our returns don't match their factors. To clarify we can add these portfolios, since we the demos code has a function for …
-
Make the loading of daily and monthly data from the [Ken French data library](http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) consistent:
1. The files in our data/ reposito…
-
Before merging to the other predictiors, I think, one needs to lag the three characteristics mentioned in the headline. Otherwise, one would either create one more lag in all other characteristics whe…
-
Modify get_stocks.py to add parameter to get daily data. By default it'll still get monthly data.
Modify get_regressions.py to add parameter to use daily data. By default the regressions will sti…
-
Try using the Fama-French North America 3 factors from http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
instead of the ff_factors.csv from the original CARIMA spreadsheet.