A new day a new question. I have now done a rolling window regression according to CAPM model and thus determined my time series alphas and betas. Now I want to do the whole thing with the Fama French 3 Factor Model- The variables for smb and hml I have given. However, I want to keep the variables of alpha and beta from the CAPM model and generate new variables for alpha, beta 2 and beta 3, also for a period of 24 months. And after that I have to do this regression again with Carhart 4 factor Model and given MOM factor. An overall question I have is: Does the Alpha and Beta 1 change when applying the Fama French model or does it stay the same like in the CAPM model and only the new Betas are following? The goal in the end is to create mean Alphas divide them into Quintiles based on their Turnover Ratio to see if more active fonds perform better.
clear
input double portfolioid float mofd double(smb hml Alpha Beta)
4 439 .0231 -.0058 .0011276676681867825 1.2582311269663249
4 440 -.0079 -.0375 -.00066037569874813 1.4018742984812849
4 441 -.041100000000000005 .0479 -.003203570453383219 1.4122109199175594
4 442 -.036000000000000004 .0015 -.005067735517733929 1.355875609082542
4 443 .0308 .0101 -.004276204678426189 1.3299128910546867
4 444 -.015300000000000001 -.0236 -.00264340576862393 1.2650903114961072
4 445 -.026099999999999998 .0467 -.004977918697552257 1.3431614071668685
4 446 -.0033 .0385 -.0013603183772131176 1.2780154835862378
4 447 -.052000000000000005 -.0103 -.0020266099299921167 1.2059703395801908
4 448 .0483 -.0437 -.0011593780606042707 1.31435990940695
4 449 .015 .0076 -.0017615356820123058 1.3171521637192598
4 450 -.0252 -.0013 -.0024929980839788132 1.1887365089356519
4 451 .0735 .013600000000000001 .0028820224147934476 1.052381136162448
4 452 .0268 -.0022 .004593126737425821 1.107596270636486
4 453 -.0079 .022000000000000002 .003565814453837919 1.1359603071001119
4 454 -.0506 .0098 .0015064737708275246 1.1076438503130182
4 455 -.0239 .0382 -.001450077625743531 1.113812080451299
4 456 -.009300000000000001 -.020499999999999997 .0025399518285950835 1.1037358810718263
4 457 .0032 -.0091 -.00008314149448057293 1.0701662544985826
4 458 -.0101 .0125 -.00264706689732443 1.071068086961803
4 459 .0048 .0034000000000000002 -.0046777288729113395 1.0582751471024578
4 460 -.0354 .041299999999999996 -.00914245381680592 1.091173464905962
4 461 -.0313 -.0217 -.00700097423044709 1.0418785338348306
4 462 -.0492 -.011699999999999999 -.008433296568919339 1.0577201843378217
4 463 -.0574 .051699999999999996 -.013204861540199477 1.2129156439573077
4 464 -.002 -.038 -.014364183593742185 1.196618857079138
4 465 -.032 -.026699999999999998 -.015444051513141611 1.1553881750332935
4 466 .0116 -.0352 -.01279344256693269 1.212134473367146
4 467 -.0031 -.046799999999999994 -.009466272067912462 1.3071835246479455
4 468 .0087 -.055999999999999994 -.007383238950604474 1.3275470634435544
4 469 -.0558 .016200000000000003 -.006018720126566169 1.3215990484788809
4 470 -.0384 -.028900000000000002 -.006023297375925912 1.3569408906521836
4 471 .032 .023700000000000002 -.0032789059631669858 1.381550354500943
4 472 .0363 .026699999999999998 -.004582010000065449 1.359300783394689
4 473 .0348 -.04190000000000001 -.0033608506502379766 1.3781827796152266
4 474 .0222 .005 .0007751663600516108 1.3989994612642689
4 475 -.013000000000000001 -.0088 -.0004450044521979099 1.4382687226428141
4 476 .0315 -.029900000000000003 .0006037295772227964 1.4079304046767325
4 477 -.06860000000000001 -.0313 .0023284462734532926 1.435825313138035
4 478 .0796 -.0801 .009645787785370119 1.4936431929735288
4 479 .0724 -.094 .016357732373009762 1.6044313280489981
4 480 .0435 .0006 .01597773318892428 1.5946455737985565
4 481 .2232 -.1311 .027394798933897874 1.6992565318944537
4 482 -.16699999999999998 .0797 .022705446549832985 1.6150227037789622
4 483 -.0787 .0929 .02714756186533702 1.5311388726294246
4 484 -.050499999999999996 .0387 .02905797453659893 1.5113798309819366
4 485 .13720000000000002 -.1018 .0325332487512009 1.5407386848023146
4 486 -.0276 .0855 .03539859656314524 1.5129316398483346
4 487 -.009399999999999999 -.0129 .03952823818555333 1.4413293810263585
4 488 -.0194 .0682 .04010228565448254 1.508162664132336
4 489 -.036699999999999997 .047 .0395180477500601 1.7276303539624807
4 490 -.031200000000000002 .1229 .03805323807267757 1.8454745871451168
4 491 .015 .0611 .039059513800083615 1.8075571043821559
4 492 .0708 -.056600000000000004 .03618047031114062 1.7719855556708064
4 493 -.011699999999999999 .1391 .04044433959165882 1.6364718551310553
4 494 .0054 .0622 .04133914859278934 1.6409544591072212
4 495 .0024 -.0438 .041312379120544175 1.6210791411003753
4 496 .0305 .028300000000000002 .04032862324377629 1.5982747032873128
4 497 .064 -.022799999999999997 .039515050400760664 1.605425821043517
4 498 -.0415 .0556 .03921126931429379 1.6096129702114477
4 499 .0216 .032799999999999996 .037104918792983395 1.6387696597258556
4 500 -.0654 .0182 .036233238601829657 1.666017326014775
4 501 .06860000000000001 -.07150000000000001 .03443272530766962 1.650894618243433
4 502 .0040999999999999995 .0069 .02526996563362867 1.5044371281541726
4 503 .0513 .004699999999999999 .019073450673706516 1.3709393835160322
4 504 .0115 .0339 .018588612534819627 1.3731733858779236
4 505 -.016200000000000003 .038900000000000004 .007151904262588452 1.2501049977419219
4 506 .0431 .011200000000000002 .014357413609561769 1.3780569644227463
4 507 .059000000000000004 .0421 .014499444223885 1.3921632021599477
4 508 -.037000000000000005 .0255 .013921937092171734 1.3902319525124722
4 509 .0355 .015 .01271685737387346 1.3300269472123742
4 510 -.052199999999999996 -.0362 .012079164666963182 1.347059628385688
4 511 -.0226 .0229 .00716736984339204 1.246875507800501
4 512 .0275 .0131 .00788063315810916 1.176088227792914
4 513 -.0298 -.0645 .00681633879941004 1.1024467023764373
4 514 .032 -.0159 .006783476955592701 .9574366968811625
4 515 -.0045000000000000005 .0388 .0008174012149019787 .9282927484776891
4 516 .0139 -.008199999999999999 .00277341205796916 .9519475110158521
4 517 -.0027 -.014499999999999999 .0017975961479823905 .9865480266990998
4 518 .0073 -.0158 .002657955196104919 .9887523775601875
4 519 .0111 -.0009 .0009851211820280752 .9489484757852131
4 520 .048 .0009 .0048100191602722 1.009931924480321
4 521 .015 .0070999999999999995 .005723510274338288 1.0162651853427491
4 522 .0558 -.0204 .005084054580076671 1.0257052402606504
4 523 .0265 .0176 .0074259662326077325 .9974451764705381
4 524 .006 .009300000000000001 .01017841319013133 .9094270020647715
4 525 .028900000000000002 .0169 .011344522290153904 .9356177934221122
4 526 .0225 .0139 .0119847233815383 .9530052601641461
4 527 -.027999999999999997 .0278 .00846514544659567 .9041195373359033
4 528 .0263 .0166 .00872006067702675 .9031825818984502
4 529 -.011899999999999999 .0044 .007937297081933515 .8981742842069178
4 530 .019 -.0005 .008264231995338047 .9179754072471189
4 531 -.025699999999999997 -.0167 .002626290973518384 1.0048314540166439
4 532 -.0019 -.0026 .004769733071080048 1.0056063740699328
4 533 .023399999999999997 .0163 .004288828037580048 1.0288279960686055
4 534 -.0377 .045599999999999995 .0030103450348373043 1.0308271783454848
4 535 -.015700000000000002 .0124 .0010676980608890965 1.0389759514987018
4 536 .029300000000000003 .004699999999999999 -.00198054981620948 1.2362266866201386
4 537 .0039000000000000003 -.008199999999999999 -.0002576709104457238 1.3656707315021561
4 538 .041299999999999996 .0194 .001719370536849455 1.5219219722006376
end
Related Posts with Fama French
Reshape wide to long - datasetHello, I need to organize my data and convert it from wide to long. Since I have to many variables …
Event Study Graph: Do I need an indicator variable for each pre and post treatment period (except t-1)? Code: * Example generated by -dataex-. For more info, type help dataex clear input float(id monthl…
export spatial weight matrixHi, I'm exploiting district-level unbalanced panel data. I used the following command to generate a…
How to Count the Number of the Students Having Grade Retention in a Dataset in Stata Code?As the title suggested, I would like to count the number of the students who had grade retention in …
Long data? Help. New to StataHi. I am new to Stata, and coming back to data analysis after 20 years since my undergraduate. I am …
Subscribe to:
Post Comments (Atom)
0 Response to Fama French
Post a Comment