# Questions tagged [regression]

Techniques for modeling and analyzing several variables, when the focus is on the relationship between a dependent variable and one or more independent variables.

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### implementation of BAB strategy

I am implementing the Betting Against Beta strategy (Frazzini and Pedersen, 2014). I have some question What I do: - get historical data through yfinance - calculate beta of each stock - get 5 stocks ...
1 vote
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### Issues running Fama French regression for annual portfolios

As part of my master thesis I am planning to do some analysis based on the 3-Factor Fama french model. I am not a quantitative finance person at all, so my question might be extremely basic and I ...
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### Applying Block Bootstrap to Simulate Returns and Conduct OLS Regression for Beta Calculation

I am facing a methodological issue in my Master's thesis and hope someone can provide some guidance. Background: I have a time series of returns for the S&P 500, a variance swap, and a put option ...
110 views

### Interpretation of significant positive Alpha and negative Momentum

I have observed that my portfolios constructed according to positive ESG criteria consistently show negative alphas and positive momentum, while the portfolios with negative ESG criteria show positive ...
72 views

### Regression swap vs bond future

I have to perform a regression to get an hedge ratio. The dependent variable is the change on day of a swap fixed rate (f.i. 10y) and the independent variable is the change on day of a bond future ...
126 views

### Residual Function

In a time series with OLS regression curve Y-hat (rolling linear regression), and with n=20, what can I say about this transformation? This formula is similar to a differential dY/dt minus an integral ...
1 vote
310 views

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### Using regression for binomial prediction of tomorrow's return

I completed a challenge which asks the user to predict tomorrow's market return. The data available is prices data and the model must be logistic regression. They call it "machine learning" ...
• 442
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### Regression taking in account size of earnings surprises

I'm trying to regress earnings surprises on variable x. However, absolute earnings surprises are mostly influenced by company total earnings and the number of shares outstanding. So I can't just use ...
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1 vote
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### Constructing a Replicating Portfolio : Regression on Individual Constituents or their Average?

I would like to replicate a portfolio of stocks $S_1, \cdots, S_n$ using other instruments, $X_1, \cdots, X_m$. Using the letters above with a subscript $t$ to denote the forward returns over some ...
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1 vote
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### Should I include factor loadings as explanatory variables for regression of abnormal and raw returns?

My research is to explain stock returns in a regression model. My dependent variable is raw returns and abnormal returns calculated from 3-factor model (Fama and French). Besides regressing against my ...
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1 vote
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### Coefficients of univariate regressions equal to those in the multivariate regression

I am currently running fixed effect regressions with multiple dummy variables. These dummy variables are created by a grid of '1' '0': ...
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1 vote
144 views

### Cross sectional regression for monthly retuns wih time lag

I am trying to understand the cross-sectional regression methology of Fama MacBeth in the setting of monthly returns with time lags. I was reading "Seasonality in the cross-section, Steven L. ...
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