Create lagged fama-french factors

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Create a df of lagged fama-french factors

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Because the stocks in our portfolio are volatile. When we regress them against the fama-french factors, we may underestimate them. Thus we regress them against the current factors and their lagged versions.

The regression formula is: R_s - rf = beta_1 SMB + beta_2 HML + beta_3 MKT-rf + beta_4 SMB(t-1) + beta_5 HML(t-1) + beta_6 MKT-rf(t-1)

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Check the file: data_cleaning/lagged_three_factor.ipynb

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Input:

Output: