All Questions
3 questions
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How do we know if an additional factor has improved the predictive power of a Fama French 3 factor equity model?
We're building a multi-factor model for climate risk by adding an additional factor for carbon risk on top of a Fama and French 3 factor model. This is open source at https://github.com/opentaps/open-...
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Equity risk factors with daily rebalancing
I am building some well known equity factors on the S&P for research purposes. It means those are going to be used for general evaluation purposes but do not need to be replicable. Would it be a ...
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Fama-Macbeth Regression: Weird Risk Premia
I just conducted a Fama-Macbeth regression where in the first step I calculated a time-series regression for each individual stock to get three betas (for mkt-rf, smb, hml) for each stock. Then I ran ...
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