A toolkit for asset pricing research
portfolio finance pricing quant empirical momentum quantitative-finance quantitative asset-pricing factor-models capm fama-french portfolio-management empirical-finance portfolio-sorting
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- Python
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portfolio-sorting
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This project analyses the effect of one-year momentum factor on stock returns by computing CAPM, the Fama-French 3-factor model, and a 4-factor model accounting for momentum. The persistence of the momentum effect through the cross-sectional Fama/MacBeth regression is tested to assess whether this factor can explain test asset returns.
momentum r-programming asset-pricing capm risk-factors time-series-regression fama-french-3-factor portfolio-sorting carhart-four-factor-model fama-macbeth-regression equity-returns
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