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webinar111606
- contains MATLAB scr ipts and data that were used in the webinar "Using MATLAB to Develop Asset-Pricing Models." The slides from the webinar are also included. The scr ipts examine the Fama & French model for a number of
Fama-French 3 Factor-Model.sas
- FF three factor model sas
Five-factor Model
- 早在1993年，Fama和French两个人就已经发表了他们的三因子模型，认为股票的超额收益可以由市场风险、市值风险、账面市值比风险来共同解释。后来，这两个人发现了除了上述风险，还有盈利水平风险、投资水平风险也能带来个股的超额收益，并在2013年发表了五因子模型。(Five factor model; quantitative investment)
五因子do文档
- statat代码，五因子模型分析，账面市值比、规模效应、盈利能力、投资风格(The stata code of the five-factor model, including the 5 quintiles of each factor, the group descr iptive statistics, and the mean t test and the factor redundancy check code)
code
- 用matlab做动量反转效应分析的编程模板(momentum factor, JEGADEESH AND TITMAN,Fama-French 3 Factor-Model)
fama-french three factors
- 利用中国A股数据实现Fama-French三因子模型，stata代码(Using Chinese A-share data to realize Fama French three factor model, Stata code)
ff3
- python对fama3因子模型选股的试验(Fama-French 3-factor model by python)
Fama-French-Replication.R
- 复现 Fama French 1992 Table 1 结果(replicate Fama French 1992 Table 1 result)