Texto completo en Odilo

Texto completo en Odilo

Texto completo en Odilo

Texto completo en Odilo

Texto completo en Odilo

Texto completo en Odilo

Texto completo en Odilo

Texto completo en Odilo

Texto completo en Odilo

Tabla de Contenidos: “…Python via Canopy -- References -- Exercises -- Summary -- Chapter 7: Multifactor Models and Performance Measures -- Introduction to the Fama-French three-factor model -- Fama-French three-factor model -- Fama-French-Carhart four-factor model and Fama-French five-factor model -- Implementation of Dimson (1979) adjustment for beta -- Performance measures -- How to merge different datasets -- Appendix A - list of related Python datasets -- Appendix B - Python program to generate ffMonthly.pkl -- Appendix C - Python program for Sharpe ratio -- Appendix D - data case #4 - which model is the best, CAPM, FF3, FFC4, or FF5, or others? -- References -- Exercises -- Summary -- Chapter 8: Time-Series Analysis -- Introduction to time-series analysis -- Merging datasets based on a date variable -- Using pandas.date_range() to generate one dimensional time-series -- Return estimation -- Converting daily returns to monthly ones -- Merging datasets by date -- Understanding the interpolation technique -- Merging data with different frequencies -- Tests of normality -- Estimating fat tails -- T-test and F-test -- Tests of equal variances -- Testing the January effect -- 52-week high and low trading strategy -- Estimating Roll's spread -- Estimating Amihud's illiquidity -- Estimating Pastor and Stambaugh (2003) liquidity measure -- Fama-MacBeth regression -- Durbin-Watson -- Python for high-frequency data -- Spread estimated based on high-frequency data -- Introduction to CRSP -- References -- Appendix A - Python program to generate GDP dataset usGDPquarterly2.pkl -- Appendix B - critical values of F for the 0.05 significance level -- Appendix C - data case #4 - which political party manages the economy better? …”