Please refer to the following articles:
Carhart, Mark M., 1997, On Persistence in Mutual Fund Performance, Journal of Finance 52, 57-82.
Fama, Eugene and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3056.
Fama, Eugene and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
String manipulation: http://www.pythonforbeginners.com/basics/string-manipulation-in-python
Appendix A – data case #3 - beta estimation
Objective: hands-on experience to estimate the market risk for a given set of companies:
What are alpha and beta for those companies?
Comment on your results.
Based on your monthly returns, what are the means of annual returns for S&P500 and risk-free rate?
If the expected market return is 12.5% per year and the expected risk-free rate is 0.25% per year, what are the costs of equity for those companies?
What is the portfolio beta?
Computational tool: Python
Period...