Hot answers tagged factor-loading
If you are doing something cross-sectional (like Fama-Macbeth regressions) you can just use the ratios where you would put the factor loadings (i.e. betas from the time series regs). You probably want to do some kind of transformation on the ratio to make it well-behaved first though. If you want an actual factor based on the ratio, you can use "factor ...
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