# Tag Info

Accepted

Accepted

### Hansen and Jagannathan distance

It would be easier to answer if you tell us where that equation came from (there are many ways of deriving the HJ distance) - in any case the numerator of your equation should be the expected return ...
Accepted

### How to do Fama French (1993) cross sectional regressions? A few questions

You say: At this point I don't really get any further, as I am unsure about which "cross section" is being talked about here. Since I have created 25 portfolios, I can only have all in all ...

### Why and when we should use the log variable?

I cite from the fantastic book by Bali, Engle, and Murray (2016): Empirical Asset Pricing: The Cross Section of Stock Returns. In what follows, they talk about the pricing of size in the stock market (...

### Testing Valuation, Size and Momentum (proprietary factors) from 1988-2013: No evidence of driving cross-sectional returns

I think your best shot is to share with us your 3,000 stocks. How far can that be from FF sample? As a quick check I took the 25 book-to-market portfolios and the Fama-French 3 factor model and run ...

### Filtering out AR(1) effects before using stochastic volatility model

Even though it's a straightforward extension, it took me a while (a year? yikes!); but now you can easily incorporate Bayesian ar(1) (or more generally, Bayesian regression) in joint estimation by ...

### CAPM Calculations

The question above looks somewhat confused. Where's the error term? A recipe for a standard calculation It's customary to work with monthly returns. For each portfolio $i$, calculate monthly ...
Accepted

### How can you determine the correct significance of the Shiller P/E regression?

Overlapping observations leads to correlation of error terms Let $r_{t \rightarrow t+k}$ be the log return from time $t$ to $t+k$. Imagine you're running a regression forecasting $k$ year returns ...

### Is my data fittet to be significant?

The question you ask is in fact about what people in machine learning call overfitting: the more you choose your "metaparameters" to provide high returns on your sample of days the less you can trust ...

### Calculating fund alpha using Fama-French 3 factor model?

In the long run, you'd probably be better off learning a real programming language like Python, R, or MATLAB. While you can do this in Excel using mmult, ...
For each stock run a time series regression: $r_{i,t} = \alpha + \beta F_t + \epsilon_t$ Then for each month $t$, you run a cross-section regression: \$r_{i,t} = \lambda_0 + \hat{\beta}_i {\lambda}_t + ...