linearmodels.asset_pricing.model.TradedFactorModel¶
- class linearmodels.asset_pricing.model.TradedFactorModel(portfolios: IVData | ndarray | DataArray | DataFrame | Series, factors: IVData | ndarray | DataArray | DataFrame | Series)[source]¶
Linear factor models estimator applicable to traded factors
- Parameters:¶
Notes
Implements both time-series estimators of risk premia, factor loadings and zero-alpha tests.
The model estimated is
\[r_{it}^e = \alpha_i + f_t \beta_i + \epsilon_{it}\]where \(r_{it}^e\) is the excess return on test portfolio i and \(f_t\) are the traded factor returns. The model is directly tested using the estimated values \(\hat{\alpha}_i\). Risk premia, \(\lambda_i\) are estimated using the sample averages of the factors, which must be excess returns on traded portfolios.
Methods
fit([cov_type, debiased])Estimate model parameters
from_formula(formula, data, *[, portfolios])- param formula:
Formula modified for the syntax described in the notes
Properties