Fama French Models

Study of Fama-French stock return models using data from the S&P 500.

Linear models

• CAPM
• Fama-French 3-factor model
• Fama-French-Carhart 4-factor model
• Fama-French 5-factor model

Nonlinear methods

• Gradient Boosting
• Lasso and Ridge regressions
• ARD regression
• MLNN
• LSTM

Feature selection methods

• sklearn feature importance
• boosting feature importance

Models

A comparison was made of various models with the Fama-French model.

Lasso vs 5-factor Fama-French

ARD Regression vs 5-factor Fama-French

ARD vs Lasso

Gradient Boosting vs 5-factor Fama-French