New answers tagged fama-french
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NYSE is the abbreviation for New York Stock Exchange
Most financial researchers like Fama/French use the CRSP database for US financial data. It is maintained by the University of Chicago's Booth School of Business and provides data for NYSE-, AMEX-, and NASDAQ-listed securities from December 31, 1925 through the present.
NYSE-Breakpoints
The breakpoints ...
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This is a quite broad question, but as requested, i would like to provide you four recommendations.
First, testing any portfolio sorting-strategy, it is common in academics to account for autocorrelation and heteroscedascitiy in portfolio returns, i.e. applying Newey/West (1987) adjusted standard errors. As you seem to use the R-statistical language, this ...
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