Fama-French-Model

New Fama-French Model Validation

Enviroment

Python 2.7.12/3.5.4
Package: Pandas, Sklearn, Numpy, Statsmodels

Data

1. Center for Research for Securities Price Database
2. Morningstar Direct

Citation

The paper can be found in link.

If you find the code useful in your work, please cite:

@article{dong2022improving, title={Improving Equity Fund Alpha Estimates with a Second Size Factor}, author={Dong, Nanqing and Jankovic, Luka and Stewart, Anne and Stewart, Scott}, journal={The Journal of Portfolio Management}, volume={49}, number={2}, pages={175--187}, year={2022}, publisher={Institutional Investor Journals Umbrella} }