Univariate, Bivariate sorting and Fama-MacBeth regression
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Sep 29, 2024 - Python
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fama-macbeth-regression
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A modular Python framework for researching and backtesting multi-factor equity strategies using classical factors (Value, Momentum, Size), Fama–MacBeth regressions, IC/IR analysis, and long–short portfolio evaluation.
python pandas financial-data backtesting-trading-strategies yahoo-finance quant-finance-models factor-investing quant-finance portfolio-construction-analysis alpha-research quantitative-research-project fama-macbeth-regression multi-factor-model
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Dec 3, 2025 - Python
This project analyses the effect of one-year momentum factor on stock returns by computing CAPM, the Fama-French 3-factor model, and a 4-factor model accounting for momentum. The persistence of the momentum effect through the cross-sectional Fama/MacBeth regression is tested to assess whether this factor can explain test asset returns.
momentum r-programming asset-pricing capm risk-factors time-series-regression fama-french-3-factor portfolio-sorting carhart-four-factor-model fama-macbeth-regression equity-returns
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Updated
Feb 7, 2026
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