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  • Subpackages
  • History
  • Examples
  • API
  • GitHub
  • PyPI

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  • Fama-MacBeth regressions
  • Ross’s arbitrage pricing theory
  • Fama-French three factors
  • Carhart’s momentum factor
  • Factor models

Factor models#

Estimating risk premia from the cross-section, the arbitrage argument for linear pricing, and factors built by sorting stocks on size, value and momentum.

Fama-MacBeth regressions

Fama-MacBeth regressions

Ross’s arbitrage pricing theory

Ross's arbitrage pricing theory

Fama-French three factors

Fama-French three factors

Carhart’s momentum factor

Carhart's momentum factor
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