This repo implements a Fama-MacBeth 2-stage regression to estimate factor risk premia, make inference on the risk premia, and test whether a linear factor model can explain a cross-section of portfolio returns.
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This repo implements a Fama-MacBeth 2-stage regression to estimate factor risk premia, make inference on the risk premia, and test whether a linear factor model can explain a cross-section of portfolio returns.
sakethchityala/Fama-MacBeth
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This repo implements a Fama-MacBeth 2-stage regression to estimate factor risk premia, make inference on the risk premia, and test whether a linear factor model can explain a cross-section of portfolio returns.
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