Create 2x3 Fama-French-Factor style portfolios

OpenSourceAP / CrossSection

Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3604626

GNU General Public License v2.0

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Create 2x3 Fama-French-Factor style portfolios #71

Closed chenandrewy closed 2 years ago

chenandrewy commented 2 years ago

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 creating them already.

chenandrewy commented 2 years ago

updated here 809e1175ee5e7fbcc78d2c760d7298b0f8082267