linearmodels.asset_pricing.model.TradedFactorModel

class TradedFactorModel(portfolios, factors)[source]

Linear factor models estimator applicable to traded factors

Parameters
portfoliosarray_like

Test portfolio returns (nobs by nportfolio)

factorsarray_like

Priced factor returns (nobs by nfactor)

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(self, cov_type, debiased, …)

Estimate model parameters

from_formula(formula, data, \*, portfolios, …)

Parameters

Properties

formula