Questions tagged [opentaps-climate]

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how should I update a return factor's orthogonalization parameters?

We have constructed a return factor for a Fama-French-Carhart type factor model which adds a "BMG" factor for climate risk exposure (see open-climate-investing) This BMG factor is ...
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how to measure the stability of factor loadings?

Is there any research on how to measure the stability of factor loadings, for example from Fama French/Carhart type factor models? The goal is to test different ways to construct a risk factor, such ...
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what is the right time period for estimating factor loadings in multi factor models?

Is there a generally recommended time frame (12 months, 24 months, 60 months) for estimating the factor loadings (betas) in a multi-factor model such as Fama French or Carhart or equivalent?
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are there any good papers on sector-specific versions of factor models?

Does anyone know of any good papers that build sector-specific (utilities, financials, energy, etc.) versions of factor models like the Fama French 3-factor or Carhart 4-factor models? For example, ...
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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-...